ý | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
o | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Delaware | 47-2009064 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
330 Madison Avenue, New York, New York | 10017 | |
(Address of principal executive offices) | (Zip Code) |
Large accelerated filer | ¨ | Accelerated filer | ¨ | |
Non-accelerated filer | ý Do not check if smaller reporting company | Smaller reporting company | ¨ | |
Emerging growth company | ¨ |
PAGE | ||
PART I. FINANCIAL INFORMATION | ||
Item 1. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
PART II. OTHER INFORMATION | ||
Item 1. | ||
Item 1A. | ||
Item 2. | ||
Item 5. | ||
Item 6. | ||
September 30, 2018 | December 31, 2017 | ||||||
Assets | |||||||
Investment in Guggenheim Credit Income Fund ("GCIF") (4,759,871 shares purchased at a cost of $39,898,092 and 4,759,871 shares purchased at a cost of $39,898,092, respectively) | $ | 40,352,215 | $ | 40,572,548 | |||
Cash | 1,447,915 | 650,811 | |||||
Receivable from related parties | 11,538 | — | |||||
Prepaid expenses and other assets | 4,378 | 93,653 | |||||
Total assets | $ | 41,816,046 | $ | 41,317,012 | |||
Liabilities | |||||||
Payable to related parties | $ | 37,141 | $ | 170,962 | |||
Accrued professional services fees | 63,720 | 44,562 | |||||
Accounts payable, accrued expenses and other liabilities | 33,882 | 37,330 | |||||
Total liabilities | 134,743 | 252,854 | |||||
Commitments and contingencies (Note 4. Related Party Agreements) | |||||||
Net Assets | $ | 41,681,303 | $ | 41,064,158 | |||
Components of Net Assets: | |||||||
Common Shares, $0.001 par value, 348,000,000 Common Shares authorized, 1,635,002 and 1,599,031 Common Shares issued and outstanding at September 30, 2018 and December 31, 2017, respectively | $ | 1,635 | $ | 1,599 | |||
Paid-in-capital in excess of par value | 41,494,427 | 40,572,536 | |||||
Accumulated distributions in excess of net investment income | (268,882 | ) | (184,433 | ) | |||
Accumulated net unrealized appreciation on investment | 454,123 | 674,456 | |||||
Total net assets | $ | 41,681,303 | $ | 41,064,158 | |||
Net asset value per Common Share | $ | 25.49 | $ | 25.68 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2018 | 2017 | 2018 | 2017 | ||||||||||||
Investment Income | |||||||||||||||
Dividends from investment in GCIF | $ | 910,731 | $ | 757,400 | $ | 2,402,256 | $ | 1,535,280 | |||||||
Total investment income | 910,731 | 757,400 | 2,402,256 | 1,535,280 | |||||||||||
Operating Expenses (1) | |||||||||||||||
Professional services fees | 34,345 | 46,772 | 102,952 | 153,480 | |||||||||||
Related party reimbursements | 37,141 | 58,552 | 149,228 | 205,298 | |||||||||||
Offering expenses | 237 | 110,108 | 89,350 | 250,865 | |||||||||||
Shareholder servicing expenses | 5,727 | 2,966 | 13,551 | 22,966 | |||||||||||
Administrative services | 3,750 | 3,750 | 11,250 | 11,250 | |||||||||||
Trustees fees | 765 | 756 | 2,244 | 2,244 | |||||||||||
Other expenses | 23,627 | 727 | 50,955 | 30,320 | |||||||||||
Total operating expenses | 105,592 | 223,631 | 419,530 | 676,423 | |||||||||||
Reimbursement of expense support | 80,750 | 24,906 | 149,901 | 24,906 | |||||||||||
Less: Expense support from related parties (See | (10,786 | ) | (60,217 | ) | (78,452 | ) | (632,031 | ) | |||||||
Net expenses | 175,556 | 188,320 | 490,979 | 69,298 | |||||||||||
Net investment income | 735,175 | 569,080 | 1,911,277 | 1,465,982 | |||||||||||
Realized and unrealized gains (losses): | |||||||||||||||
Net realized gain from investment in GCIF | — | 58,092 | — | 58,092 | |||||||||||
Long term gain (loss) distributions from GCIF | (1,310 | ) | — | 221,698 | — | ||||||||||
Net change in unrealized appreciation (depreciation) from investment in GCIF | (297,031 | ) | (21,676 | ) | (220,333 | ) | 169,612 | ||||||||
Net realized and unrealized gains (losses) | (298,341 | ) | 36,416 | 1,365 | 227,704 | ||||||||||
Net increase in net assets resulting from operations | $ | 436,834 | $ | 605,496 | $ | 1,912,642 | $ | 1,693,686 | |||||||
Per Common Share information: | |||||||||||||||
Net investment income per Common Share outstanding - basic and diluted | $ | 0.45 | $ | 0.35 | $ | 1.18 | $ | 1.12 | |||||||
Earnings per Common Share - basic and diluted | $ | 0.27 | $ | 0.37 | $ | 1.18 | $ | 1.30 | |||||||
Weighted average Common Shares outstanding - basic and diluted | 1,630,516 | 1,615,085 | 1,617,585 | 1,304,409 | |||||||||||
Distributions per Common Share | $ | 0.45 | $ | 0.45 | $ | 1.37 | $ | 1.36 |
(1) | Operating expenses solely represent the Company's operating expenses and do not include the Company's proportionate share of the Master Fund's operating expenses. |
Nine Months Ended September 30, | |||||||
2018 | 2017 | ||||||
Operations: | |||||||
Net investment income | $ | 1,911,277 | $ | 1,465,982 | |||
Net realized gain from investment in GCIF | 221,698 | 58,092 | |||||
Net change in unrealized appreciation (depreciation) from investment in GCIF | (220,333 | ) | 169,612 | ||||
Net increase in net assets resulting from operations | 1,912,642 | 1,693,686 | |||||
Shareholder distributions: | |||||||
Distributions from net investment income | (1,911,277 | ) | (1,465,982 | ) | |||
Distributions from net realized gain on investment | (221,698 | ) | — | ||||
Distributions in excess of net investment income | (84,449 | ) | (300,970 | ) | |||
Net decrease in net assets from shareholder distributions | (2,217,424 | ) | (1,766,952 | ) | |||
Capital share transactions: | |||||||
Issuance of Common Shares | — | 21,061,453 | |||||
Reinvestment of shareholders' distributions | 1,290,290 | 1,016,921 | |||||
Repurchase of Common Shares | (368,363 | ) | (1,305,521 | ) | |||
Net increase in net assets resulting from capital share transactions | 921,927 | 20,772,853 | |||||
Total increase in net assets | 617,145 | 20,699,587 | |||||
Net assets at beginning of period | 41,064,158 | 20,364,450 | |||||
Net assets at end of period | $ | 41,681,303 | $ | 41,064,037 | |||
Capital share activity: | |||||||
Common Shares outstanding at the beginning of the period | 1,599,031 | 790,926 | |||||
Common Shares issued from subscriptions | — | 809,688 | |||||
Common Shares issued from reinvestment of distributions | 50,305 | 39,150 | |||||
Common Shares repurchased | (14,334 | ) | (50,355 | ) | |||
Common Shares outstanding at the end of the period | 1,635,002 | 1,589,409 | |||||
Distributions in excess of net investment income at end of period | $ | (268,882 | ) | $ | (417,228 | ) |
Nine Months Ended September 30, | |||||||
2018 | 2017 | ||||||
Operating activities | |||||||
Net increase in net assets resulting from operations | $ | 1,912,642 | $ | 1,693,686 | |||
Adjustments to reconcile net increase in net assets from operations to net cash provided by (used in) operating activities: | |||||||
Purchase of investment in GCIF | — | (21,259,800 | ) | ||||
Sale of investment in GCIF through GCIF's share repurchase program | — | 735,300 | |||||
Net realized gain from investment in GCIF | — | (58,092 | ) | ||||
Net change in unrealized (appreciation) depreciation from investment in GCIF | 220,333 | (169,612 | ) | ||||
(Increase) decrease in operating assets: | |||||||
Receivable from related parties | (11,538 | ) | 134,039 | ||||
Prepaid expenses and other assets | 89,275 | (76,588 | ) | ||||
Increase (decrease) in operating liabilities: | |||||||
Payable to related parties | (133,821 | ) | (6,476 | ) | |||
Accrued professional services fees | 19,158 | 39,301 | |||||
Accrued offering expenses | — | (35,968 | ) | ||||
Accounts payable, accrued expenses, and other liabilities | (3,448 | ) | 13,567 | ||||
Net cash provided by (used in) operating activities | 2,092,601 | (18,990,643 | ) | ||||
Financing activities | |||||||
Issuance of Common Shares | $ | — | $ | 21,061,453 | |||
Repurchase of Common Shares | (368,363 | ) | (1,305,521 | ) | |||
Distributions paid | (927,134 | ) | (750,031 | ) | |||
Net cash provided by (used in) financing activities | (1,295,497 | ) | 19,005,901 | ||||
Net increase in cash | 797,104 | 15,258 | |||||
Cash, beginning of period | 650,811 | 251,708 | |||||
Cash, end of period | $ | 1,447,915 | $ | 266,966 | |||
Supplemental information: | |||||||
Distributions reinvested | $ | 1,290,290 | $ | 1,016,921 |
End of Period | Weighted Average Shares Owned | % of Net | ||||||||||||||||||
Period Ended | No. of Shares | Quarter to Date | Year to Date | Cost | Fair Value | Assets | ||||||||||||||
September 30, 2018 | 4,759,871 | 4,759,871 | 4,759,871 | $ | 39,898,092 | $ | 40,352,215 | 96.8 | % | |||||||||||
December 31, 2017 | 4,759,871 | 4,759,871 | 4,071,033 | $ | 39,898,092 | $ | 40,572,548 | 98.8 | % |
Month Ended | Expense Support from CCA and Guggenheim | CCA Waiver of Expense Support Reimburse-ment | Expense Support Reimburse-ment to Guggenheim | Expired Expense Support | Unreimbursed Expense Support | Minimum of 1.75% and Annualized Fiscal Year to Date Other Operating Expense Ratio (1) | Annualized Regular Cash Distribution Rate/Share, Declared (2) | Eligible for Reimburse-ment through | ||||||||||
September 2015 | $ | 34,102 | $ | (17,051 | ) | $ | — | $ | (17,051 | ) | $ | — | NM | $1.92161 | September 30, 2018 | |||
October 2015 | 30,802 | (15,401 | ) | — | — | 15,401 | 1.75% | $1.92161 | October 31, 2018 | |||||||||
November 2015 | 33,103 | (16,551 | ) | — | — | 16,552 | 1.75% | $1.92161 | November 30, 2018 | |||||||||
December 2015 | 5,487 | (2,744 | ) | — | — | 2,743 | 1.75% | $1.92161 | December 31, 2018 | |||||||||
January 2016 | 28,808 | (14,404 | ) | — | — | 14,404 | 1.75% | $1.92161 | January 31, 2019 | |||||||||
February 2016 | 27,107 | (13,554 | ) | — | — | 13,553 | 1.75% | $1.92161 | February 28, 2019 | |||||||||
December 2016 | 65,024 | (32,512 | ) | (32,512 | ) | — | — | 1.75% | $1.81792 | December 31, 2019 | ||||||||
January 2017 | 121,032 | (60,516 | ) | (59,058 | ) | — | 1,458 | 1.75% | $1.81792 | January 31, 2020 | ||||||||
February 2017 | 85,881 | (42,941 | ) | — | — | 42,940 | 1.75% | $1.81792 | February 29, 2020 | |||||||||
March 2017 | 104,321 | (52,161 | ) | — | — | 52,160 | 1.75% | $1.81792 | March 31, 2020 | |||||||||
April 2017 | 61,691 | (30,845 | ) | — | — | 30,846 | 1.75% | $1.81792 | April 30, 2020 | |||||||||
May 2017 | 91,468 | (45,734 | ) | — | — | 45,734 | 1.75% | $1.81792 | May 31, 2020 | |||||||||
June 2017 | 107,422 | (53,711 | ) | — | — | 53,711 | 1.75% | $1.81792 | June 30, 2020 | |||||||||
August 2017 | 58,735 | (29,367 | ) | — | — | 29,368 | 1.75% | $1.81792 | August 31, 2020 | |||||||||
November 2017 | 18,264 | — | — | — | 18,264 | 1.55% | $1.84440 | November 30, 2020 | ||||||||||
January 2018 | 6,978 | — | — | — | 6,978 | 1.11% | $1.84440 | January 31, 2021 | ||||||||||
February 2018 | 4,097 | — | — | — | 4,097 | 1.06% | $1.84440 | February 28, 2021 | ||||||||||
March 2018 | 1,167 | — | — | — | 1,167 | 1.00% | $1.84440 | March 31, 2021 | ||||||||||
April 2018 | 55,424 | — | — | — | 55,424 | 1.01% | $1.84440 | April 30, 2021 | ||||||||||
September 2018 | 10,785 | — | — | — | 10,785 | 1.06% | $1.84440 | September 30, 2021 | ||||||||||
Total | $ | 415,585 |
(1) | Other operating expenses include all expenses borne by the Company excluding organization and offering costs, an investment advisory fee, a performance-based incentive fee, financing fees and costs, and interest expense. "NM" means not measurable in these months due to the absence of a positive value for Average Net Assets. |
(2) | "Annualized Regular Cash Distribution Rate/Share, Declared" equals the annualized rate of average weekly distributions per Share that were declared with record dates in the subject month immediately prior to the date the expenses support payment obligation was incurred by CCA and Guggenheim. Regular cash distributions do not include declared special cash or share distributions, if any. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||
Related Party | Source Agreement & Description | 2018 | 2017 | 2018 | 2017 | |||||||||||||
CCA | Prior Administrative Services Agreement - expense reimbursement | $ | — | $ | 46,683 | $ | — | $ | 193,429 | |||||||||
Guggenheim | Administrative Services Agreement - expense reimbursement | $ | 37,141 | $ | 11,869 | $ | 149,228 | $ | 11,869 | |||||||||
CCA & Guggenheim | O&O Agreements - offering expenses reimbursements | $ | — | $ | 5,600 | $ | — | $ | 327,379 | |||||||||
CCA & Guggenheim | Prior Expense Support Agreements - expense support from related parties | $ | — | $ | (60,217 | ) | $ | — | $ | (632,031 | ) | |||||||
Guggenheim | Expense Support Agreement - expense reimbursement from related parties | $ | (10,786 | ) | $ | — | $ | (78,452 | ) | $ | — | |||||||
Guggenheim | Expense Support Agreement - reimbursement of expense support | $ | 80,750 | $ | 24,906 | $ | 149,901 | $ | 24,906 | |||||||||
Dealer Manager (Carey Financial) | Dealer Manager Agreement - dealer manager fees | $ | — | $ | 8,550 | $ | — | $ | 477,277 |
Nine Months Ended | Inception through | ||||||||||||
September 30, 2018 | September 30, 2018 | ||||||||||||
Shares | Amount | Shares | Amount | ||||||||||
Gross proceeds from Public Offering | — | $ | — | 1,587,430 | $ | 41,431,640 | |||||||
Dealer Manager fees and commissions | — | — | — | (867,272 | ) | ||||||||
Net proceeds to the Company from Public Offering | — | — | 1,587,430 | 40,564,368 | |||||||||
Reinvestment of distributions | 50,305 | 1,290,290 | 119,637 | 3,078,239 | |||||||||
Net proceeds from all issuance of Common Shares | 50,305 | $ | 1,290,290 | 1,707,067 | $ | 43,642,607 | |||||||
Average net proceeds per Common Share | $25.65 | $25.57 |
Tender Offer Termination Date | Total Number of Shares Offered to Repurchase | Total Number of Shares Repurchased | Total Consideration | Price Paid per Share | No. of Shares Repurchased / Total Shares Offered | No. of Shares Repurchased / Weighted Average Shares (1) | |||||||||||||
2018: | |||||||||||||||||||
March 14, 2018 | 34,443 | 5,013 | $ | 128,736 | $ | 25.68 | 14.6 | % | 0.36% | ||||||||||
June 6, 2018 | 38,454 | 2,504 | $ | 64,569 | $ | 25.79 | 6.5 | % | 0.16% | ||||||||||
September 5, 2018 | 40,202 | 6,817 | $ | 175,058 | $ | 25.68 | 17.0 | % | 0.42% | ||||||||||
Total | 113,099 | 14,334 | $ | 368,363 | 12.7 | % | |||||||||||||
2017: | |||||||||||||||||||
March 3, 2017 | 7,995 | — | $ | — | NA | — | % | —% | |||||||||||
June 19, 2017 | 13,815 | 10,776 | $ | 279,647 | $ | 25.95 | 78.0 | % | 1.95% | ||||||||||
September 20, 2017 (2) | 21,105 | 39,579 | $ | 1,025,874 | $ | 25.92 | 187.5 | % | 4.69% | ||||||||||
Total | 42,915 | 50,355 | $ | 1,305,521 | 117.3 | % |
(1) | Weighted average shares is based on the weighted average number of common shares outstanding in the prior four calendar quarters. |
(2) | The Company filed a tender offer to purchase up to 21,105 Shares on August 16, 2017. After the termination of the Company's purchase offer on September 20, 2017, the Company's Board approved the purchase of all Shares that were validly tendered. |
Record Date | Payment Date | Distribution per Share per Record Date | Distribution per Share per Payment Date | Cash Distribution | ||||||||
For Fiscal Year 2018 | ||||||||||||
January 30 | January 31 | $ | 0.15370 | $ | 0.15370 | $ | 245,771 | |||||
February 27 | February 28 | 0.15370 | 0.15370 | 246,645 | ||||||||
March 27 | March 28 | 0.15370 | 0.15370 | 247,507 | ||||||||
April 24 | April 25 | 0.15370 | 0.15370 | 247,604 | ||||||||
May 29 | May 30 | 0.15370 | 0.15370 | 248,471 | ||||||||
June 26 | June 27 | 0.15370 | 0.15370 | 248,959 | ||||||||
July 31 | August 1 | 0.15370 | 0.15370 | 249,818 | ||||||||
August 28 | August 29 | 0.15370 | 0.15370 | 250,682 | ||||||||
September 4, 11, 18, 25 | September 26 | 0.03547 | 0.14188 | 231,967 | ||||||||
$ | 1.37148 | $ | 2,217,424 | |||||||||
For Fiscal Year 2017 | ||||||||||||
January 3, 10, 17, 24, 31 | February 1 | $ | 0.03496 | $ | 0.17480 | $ | 147,563 | |||||
February 7, 14, 21, 28 | March 1 | 0.03496 | 0.13984 | 133,094 | ||||||||
March 7, 14, 21, 28 | March 29 | 0.03496 | 0.13984 | 148,554 | ||||||||
April 4, 11, 18, 25 | April 26 | 0.03496 | 0.13984 | 168,005 | ||||||||
May 2, 9, 16, 23, 30 | May 31 | 0.03496 | 0.17480 | 232,425 | ||||||||
June 6, 13, 20, 27 | June 28 | 0.03496 | 0.13984 | 203,145 | ||||||||
July 4, 11, 18, 25 | July 26 | 0.03496 | 0.13984 | 224,332 | ||||||||
August 1, 8, 15, 22, 29 | August 30 | 0.03496 | 0.17480 | 282,742 | ||||||||
September 26 | September 27 | 0.13984 | 0.13984 | 227,092 | ||||||||
$ | 1.36344 | $ | 1,766,952 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Net increase in net assets resulting from operations | $ | 436,834 | $ | 605,496 | $ | 1,912,642 | $ | 1,693,686 | ||||||||
Weighted average Common Shares outstanding - basic and diluted | 1,630,516 | 1,615,085 | 1,617,585 | 1,304,409 | ||||||||||||
Earnings per Common Share - basic and diluted (1) | $ | 0.27 | $ | 0.37 | $ | 1.18 | $ | 1.30 |
(1) | Earnings per Common Share, both basic and diluted, were the same in all periods because there were no Common Share equivalents. |
Nine Months Ended September 30, | |||||||
2018 | 2017 | ||||||
PER COMMON SHARE OPERATING PERFORMANCE | |||||||
Net asset value, beginning of period | $ | 25.68 | $ | 25.75 | |||
Net investment income (1) | 1.18 | 1.12 | |||||
Net realized gain from investment (1) | 0.14 | 0.04 | |||||
Net unrealized gains (2) | (0.14 | ) | 0.25 | ||||
Net increase resulting from operations | 1.18 | 1.41 | |||||
Distributions to common shareholders (3) | |||||||
Distributions from net investment income (3) | (1.18 | ) | (1.12 | ) | |||
Distributions from realized gain on investment (3) | (0.14 | ) | — | ||||
Distributions in excess of net investment income (3) | (0.05 | ) | (0.24 | ) | |||
Net decrease resulting from distributions | (1.37 | ) | (1.36 | ) | |||
Capital Share transactions | |||||||
Issuance of Common Shares above net asset value (4) | — | 0.06 | |||||
Repurchase of Common Shares | — | (0.02 | ) | ||||
Net increase in net assets resulting from capital share transactions | — | 0.04 | |||||
Net asset value, end of period | $ | 25.49 | $ | 25.84 | |||
INVESTMENT RETURNS | |||||||
Total investment return-net price (5) | N/A | 5.44 | % | ||||
Total investment return-net asset value (6) | 4.71 | % | 5.66 | % | |||
RATIOS/SUPPLEMENTAL DATA | |||||||
Net assets, end of period | $ | 41,681,303 | $ | 41,064,037 | |||
Average net assets (7) | $ | 41,551,852 | $ | 33,403,670 | |||
Common Shares outstanding, end of period | 1,635,002 | 1,589,409 | |||||
Weighted average Common Shares outstanding | 1,617,585 | 1,304,409 | |||||
Ratios-to-average net assets: (7) (8) | |||||||
Total expenses | 1.18 | % | 2.02 | % | |||
Effect of expense reimbursement from Advisors | 0.17 | % | (1.82 | )% | |||
Net expenses | 1.01 | % | 0.20 | % | |||
Net investment income | 4.60 | % | 4.39 | % |
(1) | The per Common Share data was derived by using the weighted average Common Shares outstanding during the period. |
(2) | The amount shown at this caption is the balancing figure derived from the other figures in the schedule. The amount shown at this caption for a Common Share outstanding throughout the period may not agree with the change in the aggregate gains and losses in portfolio securities for the period because of the timing of sales of the Company’s Common Shares in relation to fluctuating market values for the portfolio. |
(3) | The per Common Share data for distributions is the actual amount of distributions paid or payable per Common Share outstanding during the entire period; distributions per Common Share are rounded to the nearest $0.01. For income tax purposes, distributions made to shareholders are reported as ordinary income, capital gains, non-taxable return of capital, or a combination thereof. The tax character of distributions are determined based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. The tax character of distribution shown above is an estimate since the exact amount cannot be determined at this point. As of September 30, 2018, the Company estimates distributions to be composed of either ordinary income or capital gains. The final determination of the tax character of distributions will not be made until we file our tax return. |
(4) | The continuous issuance of Common Shares may cause an incremental increase in net asset value per Share due to the sale of Shares at the then prevailing public offering price and the receipt of net proceeds per share by the Company in excess of net asset value per Share on each subscription closing date. The per share data was derived by computing (i) the sum of (A) the number of shares issued in connection with subscriptions and/or distribution reinvestment on each share transaction date multiplied by (B) the differences between the net proceeds per share and the net asset value per share on each share transaction date, divided by (ii) the total shares outstanding at the end of the period. |
(5) | Total investment return-net price is a measure of total return for shareholders, assuming the purchase of the Company’s Common Shares at the beginning of the period and the reinvestment of all distributions declared during the period. More specifically, total investment return-net price is based on (i) the purchase of Common Shares at the net offering price on the first day of the period, (ii) the sale at the net asset value per Common Share on the last day of the period, of (A) purchased Common Shares plus (B) any Common Shares issued in connection with the reinvestment of distributions, and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return-net price calculation assumes that distributions are reinvested in accordance with the Company’s distribution reinvestment plan. Because there is no public market for the Company’s Common Shares, the terminal sales price per Common Share is assumed to be equal to net asset value per Common Share on the last day of the period presented. Investment performance is presented without regard to sales load that may be incurred by shareholders in the purchase of the Company’s Common Shares. The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. Total investment return-net price is not annualized. For the nine months ending September 30, 2018, there was no applicable net price as the Company only issued Shares through the reinvestment of distributions at net asset value. |
(6) | Total investment return-net asset value is a measure of the change in total value for shareholders who held the Company’s Common Shares at the beginning and end of the period, including distributions declared during the period. Total investment return-net asset value is based on (i) net asset value per share on the first day of the period, (ii) the net asset value per share on the last day of the period, plus any shares issued in connection with the reinvestment of monthly distributions, and (iii) distributions payable relating to the ownership of shares, if any, on the last day of the period. The total investment return-net asset value calculation assumes that distributions are reinvested in accordance with the Company’s distribution reinvestment plan, net of sales load, on each monthly distribution payment date. Because there is no public market for the Company’s shares, the terminal market value per share is assumed to be equal to net asset value per share on the last day of the period presented. Investment performance is presented without regard to sales load that may be incurred by shareholders in the purchase of the Company’s Common Shares. The Company’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. Total investment return-net asset value is not annualized. |
(7) | The computation of average net assets during the period is based on averaging the amount on the first day of the first month of the period and the last day of each month during the period. Ratios to average net assets, expressed as a percentage, are not annualized. |
(8) | The ratios-to-average net assets do not include any proportionate allocation of income and expenses incurred at the Master Fund. The Master Fund's total expenses-to-average net assets for the nine months ended September 30, 2018 and September 30, 2017 were 5.46% and 5.92%, respectively. |
• | Senior Debt. Senior debt investments generally take a security interest in the available assets of the portfolio company, including equity interests in any of its subsidiaries. These senior debt classifications include senior secured first lien loans, senior secured second lien loans, senior secured bonds and senior unsecured debt. In some circumstances, the secured lien could be subordinated to the claims of other creditors. While there is no specific collateral associated with senior unsecured debt, such positions are senior in payment priority over subordinated debt creditors. |
• | Subordinated Debt. Subordinated debt investments are generally subordinated to senior debt and are generally unsecured. These investments are generally structured with interest-only payments throughout the life of the security, with the principal due at maturity. |
• | Equity Investments. Preferred and/or common equity investments may be acquired alongside senior and subordinated debt investment activities or through the exercising of warrants or options attached to debt investments. Income is generated primarily through regular or sporadic dividends, and realized gains on dispositions of such investments. |
• | Direct Originations: This channel consists of investments that are directly originated through Guggenheim's relationship network. Such investments are originated and/or structured by Guggenheim and are not generally available to the broader investment market. These investments may include both debt and equity investment components. |
• | Syndicated Transactions: This channel primarily includes investments in broadly syndicated loans and high yield bonds, typically originated and arranged by investment intermediaries other than Guggenheim. These investments may be purchased at the original syndication or in the secondary through various trading markets. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2018 | 2017 | 2018 | 2017 | ||||||||||||
Total investment income | $ | 910,731 | $ | 757,400 | $ | 2,402,256 | $ | 1,535,280 | |||||||
Net expenses | 175,556 | 188,320 | 490,979 | 69,298 | |||||||||||
Net investment income | 735,175 | 569,080 | 1,911,277 | 1,465,982 | |||||||||||
Net realized gain from investment in GCIF | — | 58,092 | — | 58,092 | |||||||||||
Long term gain (loss) distributions from GCIF | (1,310 | ) | — | 221,698 | — | ||||||||||
Net change in unrealized appreciation (depreciation) from investment | (297,031 | ) | (21,676 | ) | (220,333 | ) | 169,612 | ||||||||
Net increase in net assets resulting from operations | $ | 436,834 | $ | 605,496 | $ | 1,912,642 | $ | 1,693,686 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2018 | 2017 | 2018 | 2017 | ||||||||||||
Administrative services | $ | 3,750 | $ | 3,750 | $ | 11,250 | $ | 11,250 | |||||||
Related party reimbursements | 37,141 | 58,552 | 149,228 | 205,298 | |||||||||||
Trustees fees | 765 | 756 | 2,244 | 2,244 | |||||||||||
Professional services fees | 34,345 | 46,772 | 102,952 | 153,480 | |||||||||||
Offering expenses | 237 | 110,108 | 89,350 | 250,865 | |||||||||||
Shareholder servicing expenses | 5,727 | 2,966 | 13,551 | 22,966 | |||||||||||
Other expenses | 23,627 | 727 | 50,955 | 30,320 | |||||||||||
Total operating expenses | 105,592 | 223,631 | 419,530 | 676,423 | |||||||||||
Reimbursement of expense support | 80,750 | 24,906 | 149,901 | 24,906 | |||||||||||
Less: Expense support from related parties | (10,786 | ) | (60,217 | ) | (78,452 | ) | (632,031 | ) | |||||||
Net expenses | $ | 175,556 | $ | 188,320 | $ | 490,979 | $ | 69,298 |
2018 Record Dates | 2018 Payment Dates | Declared Distribution per Share per Record Date | Declared Distribution per Share per Payment Date | |||||||
October 2, 9, 16, 23, 30 | October 31 | $ | 0.03547 | $ | 0.17735 | |||||
November 6, 13, 20, 27 | November 28 | $ | 0.03547 | $ | 0.14188 |
Basis Points (bps) | Net Increase | |||
Increase | per Share | |||
+50 bps | $ | 0.06 | ||
+100 bps | 0.13 | |||
+150 bps | 0.20 | |||
+200 bps | 0.26 |
Period | Total Number of Shares Purchased | Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs (1) | |||||||||
July 1, 2018 to July 31, 2018 | — | — | — | — | |||||||||
August 1, 2018 to August 31, 2018 | — | — | — | — | |||||||||
September 1, 2018 to September 30, 2018 | 6,817 | $ | 25.68 | 6,817 | — | ||||||||
Total | 6,817 | 6,817 | — |
(1) | The maximum number of shares available for repurchase on August 1, 2018 was 40,202 shares. A description of the maximum number of Common Shares that may be repurchased under our share repurchase program is set forth in Note 5. Common Shares to our unaudited financial statements included herein. |
GUGGENHEIM CREDIT INCOME FUND 2019 | |||
Date: | November 8, 2018 | By: | /s/ Matthew S. Bloom |
MATTHEW S. BLOOM | |||
Chief Executive Officer | |||
(Principal Executive Officer) | |||
Date: | November 8, 2018 | By: | /s/ Brian S. Williams |
BRIAN S. WILLIAMS | |||
Chief Financial Officer | |||
(Principal Financial Officer) |
3.1 | |||
3.2 | |||
3.3 | |||
3.4 | |||
3.5 | |||
4.1 | |||
10.1 | |||
10.2 | |||
10.3 | |||
10.4 | |||
10.5 | |||
10.6 | |||
10.7 | |||
10.8 | |||
10.9 | |||
10.10 | |||
10.11 | |||
14.1 | |||
31.1 | |||
31.2 | |||
32 | |||
99 | |||
* These exhibit items were effective during a portion of the reporting period; however, as of the date of this filing, these items are no longer effective with respect to the registrant. |
1. | I have reviewed this Quarterly Report on Form 10-Q of Guggenheim Credit Income Fund 2019; |
2. | Based on my knowledge, this Report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this Report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this Report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this Report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in the Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this Report is being prepared; |
b. | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this Report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this Report based on such evaluation; and |
d. | disclosed in this Report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a. | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: | November 8, 2018 | By: | /s/ Matthew S. Bloom |
MATTHEW S. BLOOM | |||
Chief Executive Officer | |||
(Principal Executive Officer) |
1. | I have reviewed this Quarterly Report on Form 10-Q of Guggenheim Credit Income Fund 2019; |
2. | Based on my knowledge, this Report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this Report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this Report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this Report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in the Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this Report is being prepared; |
b. | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this Report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this Report based on such evaluation; and |
d. | disclosed in this Report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an Annual Report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
a. | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
b. | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: | November 8, 2018 | By: | /s/ Brian S. Williams |
BRIAN S. WILLIAMS | |||
Chief Financial Officer | |||
(Principal Financial Officer) |
1. | The Report fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of Guggenheim Credit Income Fund 2019. |
Date: | November 8, 2018 |
/s/ Matthew S. Bloom | |
MATTHEW S. BLOOM | |
Chief Executive Officer | |
Date: | November 8, 2018 |
/s/ Brian S. Williams | |
BRIAN S. WILLIAMS | |
Chief Financial Officer |
ý | QUARTERLY PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
¨ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Delaware | 47-2039472 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | |
330 Madison Avenue, New York, New York | 10017 | |
(Address of principal executive offices) | (Zip Code) | |
Registrant’s telephone number, including area code: (212) 739-0700 |
Large accelerated filer | ¨ | Accelerated filer | ¨ | |
Non-accelerated filer | ý Do not check if smaller reporting company | Smaller reporting company | ¨ | |
Emerging growth company | ¨ |
Page | ||
PART I. FINANCIAL INFORMATION | ||
Item 1. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
PART II. OTHER INFORMATION | ||
Item 1. | ||
Item 1A. | ||
Item 2. | ||
Item 3. | ||
Item 5. | ||
Item 6. | ||
September 30, 2018 | December 31, 2017 | ||||||
Assets | |||||||
Investments at fair value (amortized cost of $372,180 and $369,530, respectively) | $ | 372,183 | $ | 372,434 | |||
Unrealized appreciation of foreign currency forward contracts | 15 | — | |||||
Cash | 8,035 | 1,294 | |||||
Restricted cash | 16,876 | 24,326 | |||||
Collateral deposits for foreign currency forward contracts | 460 | — | |||||
Interest and dividend income receivable | 2,723 | 2,212 | |||||
Principal receivable | 735 | 114 | |||||
Receivable from related parties | 26 | 130 | |||||
Prepaid expenses and other assets | 510 | 177 | |||||
Total assets | $ | 401,563 | $ | 400,687 | |||
Liabilities | |||||||
Credit facility payable, net of financing costs | $ | 148,386 | $ | 148,988 | |||
Unrealized depreciation on foreign currency forward contracts | 283 | 199 | |||||
Payable for investments purchased | 2,399 | — | |||||
Accrued management fee | 584 | 596 | |||||
Accrued performance-based incentive fee | 1,826 | 1,334 | |||||
Payable to related parties | 183 | 168 | |||||
Accrued professional services fees | 360 | 476 | |||||
Accounts payable, accrued expenses and other liabilities | 411 | 445 | |||||
Total liabilities | 154,432 | 152,206 | |||||
Commitments and contingencies (Note 8. Commitments and Contingencies) | |||||||
Net Assets | $ | 247,131 | $ | 248,481 | |||
Components of Net Assets: | |||||||
Common Shares, $0.001 par value, 1,000,000,000 shares authorized, 29,151,096 and 29,151,096 shares issued and outstanding, respectively | $ | 29 | $ | 29 | |||
Paid-in-capital in excess of par value | 245,721 | 245,721 | |||||
Accumulated distributions in excess of net investment income | (1,707 | ) | (1,340 | ) | |||
Accumulated undistributed net realized gain | 3,353 | 1,366 | |||||
Net unrealized appreciation (depreciation) | (265 | ) | 2,705 | ||||
Net assets | $ | 247,131 | $ | 248,481 | |||
Net asset value per Common Share | $ | 8.48 | $ | 8.52 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2018 | 2017 | 2018 | 2017 | ||||||||||||
Investment Income | |||||||||||||||
Interest income | $ | 8,234 | $ | 8,331 | $ | 24,731 | $ | 21,617 | |||||||
Dividend income | 249 | — | 596 | — | |||||||||||
Fee income | 195 | — | 469 | 631 | |||||||||||
Total investment income | 8,678 | 8,331 | 25,796 | 22,248 | |||||||||||
Operating Expenses | |||||||||||||||
Interest expense | 2,014 | 1,703 | 5,844 | 4,807 | |||||||||||
Management fee | 1,822 | 1,986 | 5,418 | 5,620 | |||||||||||
Performance-based incentive fee | (123 | ) | 201 | 492 | 620 | ||||||||||
Administrative services | 52 | 44 | 157 | 141 | |||||||||||
Custody services | 24 | 24 | 82 | 68 | |||||||||||
Trustees fees | 92 | 112 | 279 | 372 | |||||||||||
Professional services fees | 213 | 229 | 670 | 765 | |||||||||||
Advisor transition costs | — | 662 | — | 662 | |||||||||||
Other expenses | 241 | 170 | 642 | 519 | |||||||||||
Total expenses before reimbursement of advisor transition costs | 4,335 | 5,131 | 13,584 | 13,574 | |||||||||||
Reimbursement of advisor transition costs | — | (662 | ) | — | (662 | ) | |||||||||
Total expenses | 4,335 | 4,469 | 13,584 | 12,912 | |||||||||||
Net investment income | 4,343 | 3,862 | 12,212 | 9,336 | |||||||||||
Realized and unrealized gains (losses): | |||||||||||||||
Net realized gains (losses) on: | |||||||||||||||
Investments | 1,517 | 491 | 4,149 | 3,021 | |||||||||||
Foreign currency forward contracts | 1,054 | (410 | ) | 1,281 | (1,029 | ) | |||||||||
Foreign currency transactions | 77 | (5 | ) | 48 | (116 | ) | |||||||||
Net realized gains | 2,648 | 76 | 5,478 | 1,876 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||
Investments | (2,505 | ) | 1,097 | (2,901 | ) | 1,473 | |||||||||
Foreign currency forward contracts | (700 | ) | (217 | ) | (69 | ) | (377 | ) | |||||||
Foreign currency translation | (35 | ) | — | — | — | ||||||||||
Net change in unrealized appreciation (depreciation) | (3,240 | ) | 880 | (2,970 | ) | 1,096 | |||||||||
Net realized and unrealized gains (losses) | (592 | ) | 956 | 2,508 | 2,972 | ||||||||||
Net increase in net assets resulting from operations | $ | 3,751 | $ | 4,818 | $ | 14,720 | $ | 12,308 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2018 | 2017 | 2018 | 2017 | ||||||||||||
Per Common Share information: | |||||||||||||||
Net investment income per Common Share outstanding - basic and diluted | $ | 0.15 | $ | 0.13 | $ | 0.42 | $ | 0.35 | |||||||
Earnings per Common Share - basic and diluted (Note 9. Earnings Per Common Share) | $ | 0.13 | $ | 0.16 | $ | 0.51 | $ | 0.46 | |||||||
Weighted average Common Shares outstanding (basic and diluted) | 29,151,096 | 29,214,286 | 29,151,096 | 26,976,497 | |||||||||||
Distributions per Common Share | $ | 0.19 | $ | 0.16 | $ | 0.55 | $ | 0.38 |
Nine Months Ended September 30, | |||||||
2018 | 2017 | ||||||
Operations: | |||||||
Net investment income | $ | 12,212 | $ | 9,336 | |||
Net realized gains | 5,478 | 1,876 | |||||
Net change in unrealized appreciation (depreciation) | (2,970 | ) | 1,096 | ||||
Net increase in net assets resulting from operations | 14,720 | 12,308 | |||||
Shareholder distributions: | |||||||
Distributions from net investment income | (12,212 | ) | (9,336 | ) | |||
Distributions from realized gains | (3,491 | ) | — | ||||
Distributions in excess of net investment income | (367 | ) | (1,056 | ) | |||
Net decrease in net assets from shareholder distributions | (16,070 | ) | (10,392 | ) | |||
Capital share transactions: | |||||||
Issuance of Common Shares | — | 70,676 | |||||
Repurchase of Common Shares | — | (1,291 | ) | ||||
Net increase in net assets resulting from capital share transactions | — | 69,385 | |||||
Total increase (decrease) in net assets | (1,350 | ) | 71,301 | ||||
Net assets at beginning of period | 248,481 | 178,066 | |||||
Net assets at end of period | $ | 247,131 | $ | 249,367 | |||
Capital share activity: | |||||||
Common Shares outstanding at the beginning of the period | 29,151,096 | 21,016,797 | |||||
Common Shares issued from subscriptions | — | 8,285,299 | |||||
Repurchase of Common Shares outstanding | — | (151,000 | ) | ||||
Common Shares outstanding at the end of the period | 29,151,096 | 29,151,096 | |||||
Distributions in excess of net investment income at end of period | $ | (1,707 | ) | $ | (1,501 | ) |
Nine Months Ended September 30, | |||||||
2018 | 2017 | ||||||
Operating activities | |||||||
Net increase in net assets resulting from operations | $ | 14,720 | $ | 12,308 | |||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: | |||||||
Purchase of investments | (160,122 | ) | (206,464 | ) | |||
Paid-in-kind income | (564 | ) | (169 | ) | |||
Amortization of premium/accretion on investments, net | (1,003 | ) | (941 | ) | |||
Proceeds from sales of investments | 35,958 | 51,037 | |||||
Proceeds from paydowns on investments | 127,229 | 55,061 | |||||
Net realized gain on investments | (4,149 | ) | (3,021 | ) | |||
Net change in unrealized (appreciation) depreciation on investments | 2,901 | (1,473 | ) | ||||
Net change in unrealized depreciation on foreign currency forward contracts | 69 | 377 | |||||
Amortization of deferred financing costs | 343 | 360 | |||||
(Increase) decrease in operating assets: | |||||||
Principal receivable | (621 | ) | 2,408 | ||||
Deferred offering costs | — | 68 | |||||
Interest and dividend income receivable | (511 | ) | (1,281 | ) | |||
Advisor transition costs reimbursement receivable | — | (280 | ) | ||||
Receivable from related parties | 104 | — | |||||
Prepaid expenses and other assets | (333 | ) | 11 | ||||
Increase (decrease) in operating liabilities: | |||||||
Payable for investment purchased | 2,400 | 3,837 | |||||
Accrued management fee | (12 | ) | 128 | ||||
Accrued performance-based incentive fee | 492 | 620 | |||||
Accrued advisor transition costs | — | 333 | |||||
Payable to related parties | 15 | (8 | ) | ||||
Accrued professional services fees | (116 | ) | 101 | ||||
Trustees fees payable | — | 50 | |||||
Accounts payable, accrued expenses and other liabilities | (66 | ) | 50 | ||||
Net cash provided by (used in) operating activities | 16,734 | (86,888 | ) | ||||
Financing activities | |||||||
Issuance of Common Shares | — | 70,676 | |||||
Repurchase of Common Shares | — | (1,291 | ) | ||||
Credit facility borrowings, net of financing costs | — | 24,000 | |||||
Payment of financing costs | (913 | ) | — | ||||
Distributions paid | (16,070 | ) | (10,392 | ) | |||
Net cash provided by (used in) financing activities | (16,983 | ) | 82,993 | ||||
Net decrease in restricted and unrestricted cash | (249 | ) | (3,895 | ) | |||
Restricted and unrestricted cash, beginning of period | 25,620 | 26,168 | |||||
Restricted and unrestricted cash, end of period | $ | 25,371 | $ | 22,273 |
Nine Months Ended September 30, | |||||||
2018 | 2017 | ||||||
Components of restricted and unrestricted cash | |||||||
Cash | $ | 8,035 | $ | 5,556 | |||
Restricted cash | 16,876 | 16,317 | |||||
Collateral deposits for foreign currency forward contracts | 460 | 400 | |||||
Total restricted and unrestricted cash | $ | 25,371 | $ | 22,273 | |||
Supplemental disclosure of cash flow information: | |||||||
Cash paid for interest | $ | 5,522 | $ | 4,360 | |||
Financing cost payable | $ | 32 | $ | — |
September 30, 2018 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
INVESTMENTS | |||||||||||||||||||||||||
Debt investments - 146.2% | |||||||||||||||||||||||||
Aerospace & Defense | |||||||||||||||||||||||||
Advanced Integration Technology | (12)(15) | Senior Secured Loans - First Lien | L+4.75% | 7.22% | 4/3/2023 | 1,897 | $ | 1,897 | $ | 1,897 | 0.8 | % | |||||||||||||
National Technical Systems | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.36% | 6/12/2021 | 3,479 | 3,456 | 3,392 | 1.4 | % | |||||||||||||||
Tronair, Inc | (15) | Senior Secured Loans - First Lien | L+4.75% | 7.56% | 9/8/2023 | 3,920 | 3,887 | 3,881 | 1.6 | % | |||||||||||||||
Total Aerospace & Defense | 9,240 | 9,170 | 3.8 | % | |||||||||||||||||||||
Automotive | |||||||||||||||||||||||||
Accuride Corp. | Senior Secured Loans - First Lien | L+5.25% | 7.64% | 11/17/2023 | 11,790 | 11,439 | 11,933 | 4.8 | % | ||||||||||||||||
BBB Industries | Senior Secured Loans - First Lien | L+4.50% | 6.60% | 8/1/2025 | 2,000 | 1,980 | 2,007 | 0.8 | % | ||||||||||||||||
Mavis Tire Express Services Corp. | (15) | Senior Secured Loans - First Lien | L+3.25% | 5.42% | 3/20/2025 | 3,173 | 3,159 | 3,168 | 1.3 | % | |||||||||||||||
Mavis Tire Express Services Corp. (Delayed Draw) | (15) | Senior Secured Loans - First Lien | L+3.25% | 5.42% | 2/28/2025 | 28 | 28 | 28 | — | % | |||||||||||||||
Mavis Tire Express Services Corp. (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+3.25% | N/A | 2/28/2025 | — | (25 | ) | (24 | ) | — | % | |||||||||||||
Mavis Tire Express Services Corp. (Delayed Draw) | (9)(15) | Senior Secured Loans - First Lien | N/A | N/A | 2/28/2025 | — | — | — | — | % | |||||||||||||||
3,162 | 3,172 | 1.3 | % | ||||||||||||||||||||||
WESCO Group | (15) | Senior Secured Loans - First Lien | L+4.25% | 6.64% | 6/14/2024 | 998 | 988 | 993 | 0.4 | % | |||||||||||||||
Total Automotive | 17,569 | 18,105 | 7.3 | % | |||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | |||||||||||||||||||||||||
C-III Capital Partners | (11)(15) | Senior Secured Loans - First Lien | L+9.00% | 11.25% | 9/8/2021 | 977 | 952 | 977 | 0.4 | % | |||||||||||||||
Gladman Developments Ltd. | UK(10)(11)(13)(14)(15) | Senior Secured Loans - First Lien | G+9.50% | 10.30% | 8/16/2024 | £ | 2,405 | 2,998 | 3,072 | 1.2 | % | ||||||||||||||
Gladman Developments Ltd. (Delayed Draw) | UK(9)(10)(11)(13)(15) | Senior Secured Loans - First Lien | G+9.50% | N/A | 8/16/2024 | £ | — | — | — | — | % | ||||||||||||||
2,998 | 3,072 | 1.2 | % | ||||||||||||||||||||||
Hunt Companies, Inc. | (11) | Senior Secured Bonds | N/A | 6.25% | 2/15/2026 | 4,000 | 4,000 | 3,730 | 1.5 | % | |||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 7,950 | 7,779 | 3.1 | % | |||||||||||||||||||||
Beverage, Food & Tobacco | |||||||||||||||||||||||||
Addo Foods Group | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+8.00% | 9.00% | 4/19/2024 | £ | 10,000 | 12,184 | 12,751 | 5.2 | % | ||||||||||||||
Blue Harvest Fisheries | (15) | Senior Secured Loans - First Lien | L+7.00% | 9.25% | 7/29/2022 | 5,639 | 5,581 | 5,585 | 2.3 | % |
September 30, 2018 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Chef's Warehouse, Inc. | (11) | Senior Secured Loans - First Lien | L+4.00% | 6.24% | 6/22/2022 | 3,348 | 3,309 | 3,371 | 1.4 | % | |||||||||||||||
CTI Foods | (13) | Senior Secured Loans - First Lien | L+3.50% | 6.10% | 6/29/2020 | 4,902 | 4,565 | 4,099 | 1.6 | % | |||||||||||||||
CTI Foods | Senior Secured Loans - Second Lien | L+7.25% | 9.85% | 6/28/2021 | 5,000 | 4,759 | 2,125 | 0.9 | % | ||||||||||||||||
9,324 | 6,224 | 2.5 | % | ||||||||||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.74% | 3/31/2023 | 909 | 902 | 903 | 0.4 | % | |||||||||||||||
Parts Town, LLC | Senior Secured Loans - First Lien | L+4.00% | 6.39% | 12/9/2024 | 4,218 | 4,199 | 4,226 | 1.7 | % | ||||||||||||||||
Parts Town, LLC | (13)(15) | Senior Secured Loans - Second Lien | L+8.00% | 10.39% | 12/8/2025 | 4,250 | 4,212 | 4,314 | 1.7 | % | |||||||||||||||
8,411 | 8,540 | 3.4 | % | ||||||||||||||||||||||
Total Beverage, Food & Tobacco | 39,711 | 37,374 | 15.2 | % | |||||||||||||||||||||
Capital Equipment | |||||||||||||||||||||||||
Cleaver Brooks, Inc. | Senior Secured Bonds | N/A | 7.88% | 3/1/2023 | 2,000 | 2,000 | 2,045 | 0.8 | % | ||||||||||||||||
Endries Acquisition Holdings | (15) | Senior Secured Loans - First Lien | L+4.75% | 6.90% | 6/1/2023 | 619 | 614 | 614 | 0.2 | % | |||||||||||||||
Great Lakes Dredge and Dock | (11)(13) | Senior Unsecured Debt | N/A | 8.00% | 5/15/2022 | 3,640 | 3,690 | 3,740 | 1.5 | % | |||||||||||||||
Total Capital Equipment | 6,304 | 6,399 | 2.5 | % | |||||||||||||||||||||
Chemicals, Plastics & Rubber | |||||||||||||||||||||||||
Ilpea Parent, Inc | IT(10)(11) | Senior Secured Loans - First Lien | L+4.75% | 7.00% | 3/2/2023 | 5,702 | 5,636 | 5,729 | 2.3 | % | |||||||||||||||
Total Chemicals, Plastics & Rubber | 5,636 | 5,729 | 2.3 | % | |||||||||||||||||||||
Construction & Building | |||||||||||||||||||||||||
GAL Manufacturing | (15) | Senior Secured Loans - First Lien | L+4.00% | 6.24% | 6/26/2023 | 5,497 | 5,420 | 5,454 | 2.2 | % | |||||||||||||||
GAL Manufacturing | (13)(15) | Senior Secured Loans - Second Lien | L+8.25% | 10.49% | 6/26/2024 | 6,000 | 5,890 | 5,890 | 2.4 | % | |||||||||||||||
GAL Manufacturing (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+4.25% | N/A | 6/24/2022 | — | (41 | ) | (41 | ) | — | % | |||||||||||||
11,269 | 11,303 | 4.6 | % | ||||||||||||||||||||||
Springs Window Fashions, LLC | (15) | Senior Secured Loans - First Lien | L+4.25% | 6.41% | 6/15/2025 | 2,993 | 2,963 | 3,022 | 1.2 | % | |||||||||||||||
Springs Window Fashions, LLC | (15) | Senior Secured Loans - Second Lien | L+8.50% | 10.66% | 6/15/2026 | 3,000 | 2,853 | 2,910 | 1.2 | % | |||||||||||||||
5,816 | 5,932 | 2.4 | % | ||||||||||||||||||||||
Total Construction & Building | 17,085 | 17,235 | 7.0 | % | |||||||||||||||||||||
Consumer Goods: Non-Durable | |||||||||||||||||||||||||
Galls LLC | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.49% | 1/31/2025 | 3,666 | 3,630 | 3,629 | 1.4 | % | |||||||||||||||
Galls LLC (Delayed Draw) | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.49% | 1/31/2025 | 266 | 263 | 263 | 0.1 | % | |||||||||||||||
Galls LLC (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+6.25% | 8.49% | 1/31/2024 | 334 | 212 | 213 | 0.1 | % |
September 30, 2018 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Galls LLC (Delayed Draw) | (9)(15) | Senior Secured Loans - First Lien | N/A | N/A | 1/31/2025 | — | — | — | — | % | |||||||||||||||
4,105 | 4,105 | 1.6 | % | ||||||||||||||||||||||
Implus Footcare, LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 9.14% | 4/30/2021 | 4,622 | 4,588 | 4,593 | 1.9 | % | |||||||||||||||
Implus Footcare, LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 9.09% | 4/30/2021 | 897 | 888 | 891 | 0.4 | % | |||||||||||||||
5,476 | 5,484 | 2.3 | % | ||||||||||||||||||||||
Total Consumer Goods: Non-Durable | 9,581 | 9,589 | 3.9 | % | |||||||||||||||||||||
Consumer Goods: Durable | |||||||||||||||||||||||||
Williams Scotsman International, Inc. | (11)(13) | Senior Secured Bonds | N/A | 7.88% | 12/15/2022 | 4,000 | 4,136 | 4,120 | 1.7 | % | |||||||||||||||
Total Consumer Goods: Durable | 4,136 | 4,120 | 1.7 | % | |||||||||||||||||||||
Containers, Packaging & Glass | |||||||||||||||||||||||||
Bioplan USA, Inc. | (15) | Senior Secured Loans - First Lien | L+4.75% | 6.99% | 9/23/2021 | 5,307 | 4,927 | 5,068 | 2.1 | % | |||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.84% | 5/26/2023 | 2,952 | 2,928 | 2,908 | 1.2 | % | |||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - Second Lien | L+8.50% | 10.84% | 11/26/2023 | 3,000 | 2,962 | 2,985 | 1.2 | % | |||||||||||||||
5,890 | 5,893 | 2.4 | % | ||||||||||||||||||||||
Total Containers, Packaging & Glass | 10,817 | 10,961 | 4.5 | % | |||||||||||||||||||||
Energy: Oil & Gas | |||||||||||||||||||||||||
Basic Energy Services Inc | (12)(13) | Senior Secured Bonds | N/A | 10.75% | 10/15/2023 | 2,000 | 1,981 | 2,040 | 0.8 | % | |||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.75% | 1/15/2022 | 2,250 | 2,216 | 1,963 | 0.8 | % | |||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.75% | 6/15/2023 | 1,855 | 1,779 | 1,549 | 0.6 | % | |||||||||||||||
3,995 | 3,512 | 1.4 | % | ||||||||||||||||||||||
Navajo Nation Oil and Gas | (15) | Senior Secured Loans - First Lien | L+7.50% | 9.84% | 6/14/2022 | 5,000 | 4,953 | 4,954 | 2.0 | % | |||||||||||||||
Penn Virginia | (11)(13)(15) | Senior Secured Loans - Second Lien | L+7.00% | 9.25% | 9/29/2022 | 3,000 | 2,949 | 3,049 | 1.2 | % | |||||||||||||||
Permian Production Partners | (15) | Senior Secured Loans - First Lien | L+6.00% | 8.17% | 5/18/2024 | 3,950 | 3,799 | 3,939 | 1.6 | % | |||||||||||||||
Total Energy: Oil & Gas | 17,677 | 17,494 | 7.0 | % | |||||||||||||||||||||
Healthcare & Pharmaceuticals | |||||||||||||||||||||||||
Alegeus Technologies LLC | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.37% | 9/5/2024 | 8,000 | 7,921 | 7,962 | 3.2 | % | |||||||||||||||
Alltech | (13)(15) | Subordinated Debt | L+7.75% | 9.99% | 7/21/2023 | 14,375 | 14,223 | 14,233 | 5.8 | % | |||||||||||||||
Alltech | (13)(15) | Subordinated Debt | E+7.75% | 8.75% | 7/21/2023 | € | 601 | 621 | 690 | 0.3 | % | ||||||||||||||
14,844 | 14,923 | 6.1 | % | ||||||||||||||||||||||
September 30, 2018 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Endo Pharmaceuticals Finance Co. | IR(10)(11)(13) | Senior Unsecured Debt | N/A | 5.38% | 1/15/2023 | 3,780 | 3,028 | 3,326 | 1.3 | % | |||||||||||||||
Endo Pharmaceuticals Finance Co. | IR(10)(11)(13) | Senior Unsecured Debt | N/A | 7.25% | 1/15/2022 | 470 | 413 | 458 | 0.2 | % | |||||||||||||||
3,441 | 3,784 | 1.5 | % | ||||||||||||||||||||||
WIRB-Copernicus Group | (15) | Senior Secured Loans - Second Lien | L+8.25% | 10.33% | 8/15/2023 | 12,000 | 11,791 | 11,885 | 4.8 | % | |||||||||||||||
Total Healthcare & Pharmaceuticals | 37,997 | 38,554 | 15.6 | % | |||||||||||||||||||||
Hotel, Gaming & Leisure | |||||||||||||||||||||||||
Boyne Resorts | Senior Secured Bonds | N/A | 7.25% | 5/1/2025 | 1,000 | 1,000 | 1,058 | 0.4 | % | ||||||||||||||||
Stadium Management Group | Senior Secured Loans - First Lien | L+3.00% | 5.24% | 1/23/2025 | 2,388 | 2,385 | 2,403 | 1.0 | % | ||||||||||||||||
Stadium Management Group | (13) | Senior Secured Loans - Second Lien | L+7.00% | 9.24% | 1/23/2026 | 2,400 | 2,395 | 2,425 | 1.0 | % | |||||||||||||||
4,780 | 4,828 | 2.0 | % | ||||||||||||||||||||||
Total Hotel, Gaming & Leisure | 5,780 | 5,886 | 2.4 | % | |||||||||||||||||||||
Media: Advertising, Printing & Publishing | |||||||||||||||||||||||||
Boats Group | (15) | Senior Secured Loans - First Lien | L+4.25% | 6.49% | 5/17/2024 | 6,860 | 6,789 | 6,859 | 2.8 | % | |||||||||||||||
Boats Group | (15) | Senior Secured Loans - Second Lien | L+8.00% | 10.17% | 11/18/2024 | 4,000 | 3,954 | 3,955 | 1.5 | % | |||||||||||||||
Boats Group (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+4.25% | N/A | 9/9/2021 | — | (76 | ) | (60 | ) | — | % | |||||||||||||
10,667 | 10,754 | 4.3 | % | ||||||||||||||||||||||
McGraw-Hill Global Education Holdings | Senior Secured Loans - First Lien | L+4.00% | 6.24% | 5/4/2022 | 1,985 | 1,965 | 1,932 | 0.8 | % | ||||||||||||||||
McGraw-Hill Global Education Holdings | (13)(14)(15) | Senior Unsecured Debt | N/A | 11.00% | 4/20/2022 | 2,000 | 1,955 | 1,909 | 0.8 | % | |||||||||||||||
McGraw-Hill Global Education Holdings | (13) | Senior Unsecured Debt | N/A | 7.88% | 5/15/2024 | 2,000 | 1,930 | 1,793 | 0.7 | % | |||||||||||||||
5,850 | 5,634 | 2.3 | % | ||||||||||||||||||||||
Trader Interactive | (15) | Senior Secured Loans - First Lien | L+6.50% | 8.74% | 6/15/2024 | 8,217 | 8,166 | 8,100 | 3.3 | % | |||||||||||||||
Trader Interactive (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+6.50% | N/A | 6/15/2023 | — | (41 | ) | (41 | ) | — | % | |||||||||||||
8,125 | 8,059 | 3.3 | % | ||||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 24,642 | 24,447 | 9.9 | % | |||||||||||||||||||||
Retail | |||||||||||||||||||||||||
Belk, Inc. | Senior Secured Loans - First Lien | L+4.75% | 6.88% | 12/12/2022 | 1,438 | 1,330 | 1,262 | 0.5 | % | ||||||||||||||||
Blue Nile, Inc. | (15) | Senior Secured Loans - First Lien | L+6.50% | 8.74% | 2/17/2023 | 11,250 | 10,986 | 11,306 | 4.6 | % | |||||||||||||||
Beverages and More, Inc. | (13) | Senior Secured Bonds | N/A | 11.50% | 6/15/2022 | 900 | 707 | 720 | 0.3 | % | |||||||||||||||
Pet Holdings ULC | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 7.84% | 7/5/2022 | 4,392 | 4,344 | 4,326 | 1.7 | % |
September 30, 2018 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 7.84% | 7/5/2022 | 494 | 494 | 487 | 0.2 | % | |||||||||||||||
4,838 | 4,813 | 1.9 | % | ||||||||||||||||||||||
Welcome Break Limited | UK(10)(11)(15) | Senior Secured Loans - Second Lien | G+8.00% | 8.80% | 1/30/2023 | £ | 5,989 | 7,393 | 7,806 | 3.2 | % | ||||||||||||||
Total Retail | 25,254 | 25,907 | 10.5 | % | |||||||||||||||||||||
Services: Business | |||||||||||||||||||||||||
24-7 Intouch | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+4.25% | 6.46% | 8/20/2025 | 4,000 | 3,721 | 3,920 | 1.6 | % | |||||||||||||||
Alexander Mann Solutions (USD Term Loan) | UK(10)(11)(13) | Senior Secured Loans - First Lien | L+5.50% | 7.66% | 8/11/2025 | 890 | 855 | 859 | 0.3 | % | |||||||||||||||
Alexander Mann Solutions (GBP Term Loan) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | G+5.50% | 6.22% | 8/11/2025 | £ | 2,060 | 2,560 | 2,598 | 1.1 | % | ||||||||||||||
Alexander Mann Solutions (Revolver) | UK(9)(10)(11)(13)(15)(17) | Senior Secured Loans - First Lien | L+5.50% | N/A | 8/9/2024 | — | (55 | ) | (55 | ) | — | % | |||||||||||||
3,360 | 3,402 | 1.4 | % | ||||||||||||||||||||||
Capstone Logistics | Senior Secured Loans - First Lien | L+4.50% | 6.74% | 10/7/2021 | 4,867 | 4,838 | 4,883 | 2.0 | % | ||||||||||||||||
Clarion (Comet Bidco) | UK(10)(11)(13) | Senior Secured Loans - First Lien | L+5.00% | 7.31% | 9/30/2024 | 5,970 | 5,857 | 5,868 | 2.4 | % | |||||||||||||||
ECG Management Consultants | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.89% | 6/20/2024 | 1,526 | 1,511 | 1,511 | 0.6 | % | |||||||||||||||
HealthChannels, Inc. | Senior Secured Loans - First Lien | L+4.50% | 6.60% | 4/3/2025 | 1,990 | 1,952 | 1,986 | 0.8 | % | ||||||||||||||||
Park Place Technologies | Senior Secured Loans - First Lien | L+4.00% | 6.24% | 3/29/2025 | 2,494 | 2,482 | 2,498 | 1.0 | % | ||||||||||||||||
Park Place Technologies | (13)(15) | Senior Secured Loans - Second Lien | L+8.00% | 10.24% | 3/29/2026 | 2,500 | 2,477 | 2,494 | 1.0 | % | |||||||||||||||
4,959 | 4,992 | 2.0 | % | ||||||||||||||||||||||
SLR Consulting | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+4.00% | 6.50% | 5/23/2025 | 1,588 | 1,546 | 1,546 | 0.6 | % | |||||||||||||||
SLR Consulting (Delayed Draw) | UK(9)(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+4.00% | N/A | 5/23/2025 | £ | — | (8 | ) | — | — | % | |||||||||||||
1,538 | 1,546 | 0.6 | % | ||||||||||||||||||||||
YAK Access, LLC | (13)(15) | Senior Secured Loans - Second Lien | L+10.00% | 12.15% | 7/10/2026 | 5,000 | 4,654 | 4,775 | 1.9 | % | |||||||||||||||
Total Services: Business | 32,390 | 32,883 | 13.3 | % | |||||||||||||||||||||
Technology | |||||||||||||||||||||||||
Advicent Solutions | (15) | Senior Secured Loans - First Lien | L+8.25% | 10.58% | 2/28/2022 | 7,072 | 6,949 | 6,953 | 2.8 | % |
September 30, 2018 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Air Newco, LLC | (11) | Senior Secured Loans - First Lien | L+4.75% | 6.88% | 5/31/2024 | 2,812 | 2,805 | 2,840 | 1.1 | % | |||||||||||||||
Alfresco Software | (15) | Senior Secured Loans - First Lien | L+8.50% | 10.83% | 9/9/2024 | 3,311 | 3,235 | 3,238 | 1.3 | % | |||||||||||||||
Bullhorn, Inc. | (15) | Senior Secured Loans - First Lien | L+6.75% | 9.07% | 11/21/2022 | 5,488 | 5,459 | 5,460 | 2.2 | % | |||||||||||||||
Bullhorn, Inc. (Term Loan B) | (15) | Senior Secured Loans - First Lien | L+6.75% | 9.07% | 11/21/2022 | 198 | 197 | 197 | 0.1 | % | |||||||||||||||
Bullhorn, Inc. (Delayed Draw) | (13)(15) | Senior Secured Loans - First Lien | L+6.75% | 9.07% | 11/21/2022 | 1,504 | 1,498 | 1,497 | 0.6 | % | |||||||||||||||
Bullhorn, Inc. (Delayed Draw) | (9)(13)(15) | Senior Secured Loans - First Lien | N/A | N/A | 11/21/2022 | — | (1 | ) | — | — | % | ||||||||||||||
Bullhorn, Inc. (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+6.75% | 9.07% | 11/21/2022 | 186 | 154 | 155 | 0.1 | % | |||||||||||||||
7,307 | 7,309 | 3.0 | % | ||||||||||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | G+7.00% | 7.80% | 6/2/2024 | £ | 2,300 | 2,920 | 2,949 | 1.2 | % | ||||||||||||||
Cologix Holdings | Senior Secured Loans - Second Lien | L+7.00% | 9.24% | 3/20/2025 | 3,000 | 2,974 | 3,034 | 1.2 | % | ||||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.88% | 4/18/2025 | 1,931 | 1,893 | 1,912 | 0.8 | % | |||||||||||||||
Datix Bidco Limited | (15) | Senior Secured Loans - Second Lien | L+7.75% | 9.98% | 9/24/2026 | 462 | 453 | 457 | 0.2 | % | |||||||||||||||
2,346 | 2,369 | 1.0 | % | ||||||||||||||||||||||
Kerridge Commercial Systems (USD Term Loan) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | L+4.75% | 6.64% | 1/22/2024 | 634 | 624 | 624 | 0.3 | % | |||||||||||||||
Kerridge Commercial Systems (GBP Term Loan) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | G+4.25% | 5.05% | 1/22/2024 | £ | 528 | 727 | 677 | 0.3 | % | ||||||||||||||
Kerridge Commercial Systems (Euro Delayed Draw) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | E+4.75% | 4.75% | 1/22/2024 | € | 97 | 117 | 112 | — | % | ||||||||||||||
Kerridge Commercial Systems (GBP Term Loan) | UK(10)(11)(13)(15) | Senior Secured Loans - First Lien | G+4.25% | 5.06% | 1/22/2024 | £ | 325 | 420 | 417 | 0.2 | % | ||||||||||||||
1,888 | 1,830 | 0.8 | % | ||||||||||||||||||||||
Lytx, Inc. | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.99% | 8/31/2023 | 6,565 | 6,432 | 6,432 | 2.6 | % | |||||||||||||||
Lytx, Inc. | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.99% | 8/31/2023 | 1,472 | 1,431 | 1,442 | 0.6 | % | |||||||||||||||
Lytx, Inc. (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+6.75% | N/A | 8/31/2022 | — | (37 | ) | (36 | ) | — | % | |||||||||||||
7,826 | 7,838 | 3.2 | % | ||||||||||||||||||||||
Ministry Brands | (13)(15) | Senior Secured Loans - First Lien | L+4.00% | 6.24% | 12/2/2022 | 966 | 958 | 966 | 0.4 | % | |||||||||||||||
Ministry Brands (Delayed Draw) | (13)(15) | Senior Secured Loans - First Lien | L+4.00% | 6.24% | 12/2/2022 | 514 | 511 | 514 | 0.2 | % | |||||||||||||||
Ministry Brands (Delayed Draw) | (13)(15) | Senior Secured Loans - First Lien | L+4.00% | 6.24% | 12/2/2022 | 186 | 186 | 186 | 0.1 | % |
September 30, 2018 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
1,655 | 1,666 | 0.7 | % | ||||||||||||||||||||||
Onyx CenterSource | (15) | Senior Secured Loans - First Lien | L+6.25% | 8.64% | 12/20/2021 | 7,010 | 6,988 | 7,010 | 2.8 | % | |||||||||||||||
Onyx CenterSource (Revolver) | (9)(13)(15)(17) | Senior Secured Loans - First Lien | L+6.25% | N/A | 12/20/2021 | — | (41 | ) | (27 | ) | — | % | |||||||||||||
6,947 | 6,983 | 2.8 | % | ||||||||||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 7.49% | 1/27/2023 | 6,236 | 6,185 | 6,236 | 2.5 | % | |||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 7.33% | 1/27/2023 | 397 | 397 | 397 | 0.2 | % | |||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - Second Lien | L+9.75% | 11.99% | 7/27/2023 | 4,388 | 4,327 | 4,339 | 1.7 | % | |||||||||||||||
10,909 | 10,972 | 4.4 | % | ||||||||||||||||||||||
Velocity Holdings US | (15) | Senior Secured Loans - First Lien | L+7.00% | 9.33% | 12/12/2023 | 5,497 | 5,376 | 5,379 | 2.2 | % | |||||||||||||||
Velocity Holdings US (Revolver) | (9)(13)(15) | Senior Secured Loans - First Lien | L+7.00% | 9.33% | 12/12/2022 | 346 | 297 | 298 | 0.1 | % | |||||||||||||||
5,673 | 5,677 | 2.3 | % | ||||||||||||||||||||||
ZPG PLC | UK(10)(11)(13) | Senior Secured Loans - Second Lien | G+7.50% | 8.22% | 7/23/2026 | £ | 3,080 | 4,034 | 3,978 | 1.6 | % | ||||||||||||||
Total Technology | 67,468 | 67,636 | 27.4 | % | |||||||||||||||||||||
Telecommunications | |||||||||||||||||||||||||
Firstlight Fiber | Senior Secured Loans - First Lien | L+3.50% | 5.84% | 7/23/2025 | 2,259 | 2,248 | 2,262 | 0.9 | % | ||||||||||||||||
Firstlight Fiber | (13)(15) | Senior Secured Loans - Second Lien | L+7.50% | 9.84% | 7/23/2026 | 2,500 | 2,475 | 2,487 | 1.0 | % | |||||||||||||||
4,723 | 4,749 | 1.9 | % | ||||||||||||||||||||||
Total Telecommunications | 4,723 | 4,749 | 1.9 | % | |||||||||||||||||||||
Transportation: Cargo | |||||||||||||||||||||||||
Flexi-Van Leasing Corp | Senior Secured Bonds | N/A | 10.00% | 2/15/2023 | 3,975 | 3,901 | 3,458 | 1.4 | % | ||||||||||||||||
Total Transportation: Cargo | 3,901 | 3,458 | 1.4 | % | |||||||||||||||||||||
Utilities: Electric | |||||||||||||||||||||||||
BHI Energy | (15) | Senior Secured Loans - Second Lien | L+8.75% | 11.25% | 2/28/2025 | 6,000 | 5,892 | 5,940 | 2.4 | % | |||||||||||||||
Moxie Liberty, LLC | Senior Secured Loans - First Lien | L+6.50% | 8.89% | 8/21/2020 | 2,929 | 2,891 | 2,724 | 1.1 | % | ||||||||||||||||
Moxie Patriot, LLC | Senior Secured Loans - First Lien | L+5.75% | 8.14% | 12/19/2020 | 356 | 348 | 354 | 0.1 | % | ||||||||||||||||
MRP Generation Holdings, LLC | (15) | Senior Secured Loans - First Lien | L+7.00% | 9.39% | 10/18/2022 | 4,900 | 4,687 | 4,802 | 1.9 | % | |||||||||||||||
Total Utilities: Electric | 13,818 | 13,820 | 5.5 | % | |||||||||||||||||||||
Total Debt Investments | $ | 361,679 | $ | 361,295 | 146.2 | % | |||||||||||||||||||
Equity investments - 4.4% | |||||||||||||||||||||||||
Banking, Finance, Insurance & Real Estate |
September 30, 2018 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (8) | Fair Value | % of Net Assets | ||||||||||||||||
Four Springs Capital Trust (Preferred Equity) | (11)(13)(14)(15) | Equity and Other | N/A | 16.75% | N/A | 193,542 | $ | 3,818 | $ | 3,870 | 1.5 | % | |||||||||||||
Total Banking, Finance, Insurance & Real Estate | 3,818 | 3,870 | 1.5 | % | |||||||||||||||||||||
Energy: Oil & Gas | |||||||||||||||||||||||||
Maverick Natural Resources, LLC (Common Equity) | (15)(16) | Equity and Other | N/A | N/A | N/A | 4,625 | 3,413 | 3,413 | 1.4 | % | |||||||||||||||
SandRidge Energy, Inc. (Common Equity) | (11)(13)(16) | Equity and Other | N/A | N/A | N/A | 21,224 | 448 | 231 | 0.1 | % | |||||||||||||||
Total Energy: Oil & Gas | 3,861 | 3,644 | 1.5 | % | |||||||||||||||||||||
Technology | |||||||||||||||||||||||||
Alfresco Software (Common Equity) | (13)(15)(16) | Equity and Other | N/A | N/A | N/A | 1,656 | 166 | 166 | 0.1 | % | |||||||||||||||
Lytx, Inc. (Preferred Equity) | (13)(14)(15) | Equity and Other | N/A | 14.75% | N/A | 2,425 | 2,425 | 2,425 | 1.0 | % | |||||||||||||||
PluralSight Holdings (Warrant) | (13)(15)(16) | Equity and Other | N/A | N/A | 8/17/2036 | 23,232 | — | 552 | 0.2 | % | |||||||||||||||
Velocity Holdings US (Class A Units) | (13)(15)(16) | Equity and Other | N/A | N/A | N/A | 231 | 231 | 231 | 0.1 | % | |||||||||||||||
Total Technology | 2,822 | 3,374 | 1.4 | % | |||||||||||||||||||||
Total Equity Investments | $ | 10,501 | $ | 10,888 | 4.4 | % | |||||||||||||||||||
Total Investments - 150.6% | $ | 372,180 | $ | 372,183 | 150.6 | % |
September 30, 2018 (in thousands) | |||||||||||||||||||||
Derivative Counterparty | Settlement Date | Notional Value at Settlement | Amount Transacted | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||||||
Foreign Currency Forward Contracts | |||||||||||||||||||||
JPMorgan Chase Bank | 10/10/2018 | $ | 812 | $ | 697 | $ | — | $ | 2 | — | % | ||||||||||
JPMorgan Chase Bank | 10/10/2018 | 31,397 | 24,295 | — | (283 | ) | |||||||||||||||
JPMorgan Chase Bank | 10/10/2018 | 2,588 | 1,977 | — | 10 | ||||||||||||||||
JPMorgan Chase Bank | 10/10/2018 | 427 | 325 | — | 3 | (0.1 | )% | ||||||||||||||
$ | (268 | ) | (0.1 | )% |
(1) | Security may be an obligation of one or more entities affiliated with the named portfolio company. |
(2) | All debt and equity investments are income producing unless otherwise noted. |
(3) | All investments are non-controlled/non-affiliated investments as defined by the 1940 Act. The provisions of the 1940 Act classify investments based on the level of control that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally presumed to be “non-controlled” when we own 25% or less of the portfolio company’s voting securities and “controlled” when we own more than 25% of the portfolio company’s voting securities. The provisions of the 1940 Act also classify investments further based on the level of ownership that we maintain in a particular portfolio company. As defined in the 1940 Act, a company is generally deemed as “non-affiliated” when we own less than 5% of a portfolio company’s voting securities and “affiliated” when we own 5% or more of a portfolio company’s voting securities. |
(4) | The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate") (denoted as "L"), Euro Interbank Offered Rate ("EURIBOR") (denoted as "E"), British Pound Sterling LIBOR ("GBP LIBOR") (denoted as "G"), or Prime Rate (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly, or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR, EURIBOR, GBP LIBOR, or Prime based on each respective credit agreement. As of September 30, 2018, LIBO rates ranged between 2.26% for 1-month LIBOR to 2.40% for 3-month LIBOR, the 3-month EURIBOR was (0.32)%, the GBP LIBOR was 0.80% and Prime Rate was 5.25%. |
(5) | For portfolio companies with multiple interest rate contracts under a single credit agreement, the interest rate shown is a weighted average current interest rate in effect at September 30, 2018. |
(6) | Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned. |
(7) | Cost represents amortized cost, inclusive of any capitalized paid-in-kind income ("PIK"), for debt securities, and cost plus capitalized PIK, if any, for preferred stock. |
(8) | As of September 30, 2018, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $5,295; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $5,560; the net unrealized appreciation was $265; the aggregate cost of securities for Federal income tax purposes was $372,180. |
(9) | The investment is either a delayed draw loan or a revolving credit facility whereby all or a portion of the investment commitment is undrawn as of September 30, 2018 (see Note 8. Commitments and Contingencies). |
(10) | A portfolio company is domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company. |
(11) | The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets. As of September 30, 2018, qualifying assets represented 77% of total assets. |
(12) | The investment position, or a portion thereof, was unsettled as of September 30, 2018. |
(13) | The investment position, or a portion thereof, was not pledged as collateral supporting the amounts outstanding under our credit facility as of September 30, 2018; (see Note 7. Borrowings). |
(14) | The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments or, in the case of preferred stocks, preferred dividends, with the issuance of additional identical securities . The interest rate in the schedule represents the current interest rate in effect for these investments. |
Coupon Rate | PIK Component | Cash Component | PIK Option | ||||
Four Springs Capital Trust | 16.75 | % | 16.75 | % | — | % | The Portfolio Company may elect PIK up to 16.75% |
Gladman Developments Ltd. | G+9.50% | 2.75 | % | G+6.75% | The Portfolio Company may elect PIK up to 2.75% | ||
Lytx, Inc. | 14.75 | % | 14.75 | % | — | % | The Portfolio Company may elect PIK up to 14.75% |
McGraw-Hill Global Education Holdings | 11.00 | % | — | % | 11.00 | % | The Portfolio Company may elect partial PIK up to 50% of the interest of the period or full PIK of 11.75% |
(15) | Investment's value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies). |
(16) | Non-income producing security. |
(17) | The negative fair value is the result of the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan. |
December 31, 2017 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (19) | Fair Value | % of Net Assets | ||||||||||||||||
INVESTMENTS | |||||||||||||||||||||||||
Debt investments - 149.6% | |||||||||||||||||||||||||
Aerospace & Defense | |||||||||||||||||||||||||
Advanced Integration Technology | (12)(15) | Senior Secured Loans - First Lien | L+4.75% | 6.32% | 4/3/2023 | 7,541 | $ | 7,449 | $ | 7,598 | 3.1 | % | |||||||||||||
National Technical Systems | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.61% | 6/14/2021 | 3,488 | 3,459 | 3,400 | 1.4 | % | |||||||||||||||
Tronair, Inc | (15) | Senior Secured Loans - First Lien | L+4.75% | 6.16% | 9/8/2023 | 3,950 | 3,913 | 3,920 | 1.6 | % | |||||||||||||||
Tronair, Inc | (15) | Senior Secured Loans - Second Lien | L+8.75% | 10.16% | 9/6/2024 | 4,000 | 3,876 | 3,882 | 1.5 | % | |||||||||||||||
7,789 | 7,802 | 3.1 | % | ||||||||||||||||||||||
Total Aerospace & Defense | 18,697 | 18,800 | 7.6 | % | |||||||||||||||||||||
Automotive | |||||||||||||||||||||||||
Accuride Corp. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.94% | 11/10/2023 | 11,880 | 11,488 | 12,103 | 4.8 | % | |||||||||||||||
Express Oil | (13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.32% | 6/14/2024 | 2,363 | 2,313 | 2,313 | 0.9 | % | |||||||||||||||
Express Oil (Delayed Draw) | (8)(13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.37% | 6/14/2024 | 821 | 813 | 796 | 0.3 | % | |||||||||||||||
Express Oil (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.75% | N/A | 6/14/2022 | — | (27 | ) | (27 | ) | — | % | |||||||||||||
3,099 | 3,082 | 1.2 | % | ||||||||||||||||||||||
Humanetics | (15) | Senior Secured Loans - First Lien | L+6.00% | 7.57% | 7/12/2022 | 8,521 | 8,331 | 8,388 | 3.4 | % | |||||||||||||||
Humanetics (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.00% | N/A | 7/12/2022 | — | (8 | ) | (46 | ) | — | % | |||||||||||||
8,323 | 8,342 | 3.4 | % | ||||||||||||||||||||||
Mavis Tire Supply, LLC | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.67% | 11/2/2020 | 2,925 | 2,899 | 2,902 | 1.2 | % | |||||||||||||||
Total Automotive | 25,809 | 26,429 | 10.6 | % | |||||||||||||||||||||
Banking, Finance, Insurance & Real Estate | |||||||||||||||||||||||||
C-III Capital Partners | (11)(15) | Senior Secured Loans - First Lien | L+9.00% | 10.56% | 8/8/2021 | 1,233 | 1,195 | 1,233 | 0.5 | % | |||||||||||||||
Total Banking, Finance, Insurance & Real Estate | 1,195 | 1,233 | 0.5 | % | |||||||||||||||||||||
Beverage, Food & Tobacco | |||||||||||||||||||||||||
Addo Foods Group | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+8.00% | 9.00% | 3/14/2024 | £ | 10,000 | 12,154 | 13,169 | 5.3 | % | ||||||||||||||
Amplify Snack Brands, Inc. | (11)(13) | Senior Secured Loans - First Lien | L+5.50% | 6.88% | 9/1/2023 | 948 | 915 | 953 | 0.4 | % | |||||||||||||||
Blue Harvest Fisheries | (15) | Senior Secured Loans - First Lien | L+7.00% | 8.57% | 7/29/2022 | 5,697 | 5,628 | 5,631 | 2.3 | % | |||||||||||||||
Chef's Warehouse, Inc. | (11) | Senior Secured Loans - First Lien | L+4.00% | 5.57% | 6/22/2022 | 4,027 | 3,966 | 4,052 | 1.6 | % | |||||||||||||||
CTI Foods | (13) | Senior Secured Loans - First Lien | L+3.50% | 5.07% | 6/29/2020 | 1,477 | 1,347 | 1,344 | 0.5 | % | |||||||||||||||
CTI Foods | (15) | Senior Secured Loans - Second Lien | L+7.25% | 8.82% | 6/28/2021 | 5,000 | 4,706 | 3,900 | 1.6 | % | |||||||||||||||
6,053 | 5,244 | 2.1 | % |
December 31, 2017 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (19) | Fair Value | % of Net Assets | ||||||||||||||||
Kar Nut Products Co. | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.84% | 3/31/2023 | 935 | 927 | 927 | 0.4 | % | |||||||||||||||
Parts Town, LLC | (13) | Senior Secured Loans - First Lien | L+4.00% | 5.57% | 12/4/2024 | 4,250 | 4,229 | 4,275 | 1.7 | % | |||||||||||||||
Parts Town, LLC | (13)(15) | Senior Secured Loans - Second Lien | L+8.00% | 9.57% | 12/4/2025 | 4,250 | 4,208 | 4,271 | 1.7 | % | |||||||||||||||
8,437 | 8,546 | 3.4 | % | ||||||||||||||||||||||
Reddy Ice | Senior Secured Loans - First Lien | L+5.50% | 6.83% | 5/1/2019 | 3,616 | 3,521 | 3,595 | 1.4 | % | ||||||||||||||||
Total Beverage, Food & Tobacco | 41,601 | 42,117 | 16.9 | % | |||||||||||||||||||||
Capital Equipment | |||||||||||||||||||||||||
Cleaver Brooks, Inc. | Senior Secured Bonds | N/A | 7.88% | 3/1/2023 | 2,000 | 2,000 | 2,050 | 0.8 | % | ||||||||||||||||
Endries Acquisition Holdings | (15) | Senior Secured Loans - First Lien | L+4.75% | 6.15% | 6/1/2023 | 623 | 618 | 618 | 0.3 | % | |||||||||||||||
Great Lakes Dredge and Dock | (11) | Senior Unsecured Debt | N/A | 8.00% | 5/15/2022 | 2,000 | 2,000 | 2,092 | 0.8 | % | |||||||||||||||
Total Capital Equipment | 4,618 | 4,760 | 1.9 | % | |||||||||||||||||||||
Chemicals, Plastics & Rubber | |||||||||||||||||||||||||
Ilpea Parent, Inc | IT(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 7.07% | 3/31/2023 | 5,826 | 5,749 | 5,848 | 2.4 | % | |||||||||||||||
Total Chemicals, Plastics & Rubber | 5,749 | 5,848 | 2.4 | % | |||||||||||||||||||||
Construction & Building | |||||||||||||||||||||||||
Fiber Composites, LLC | (14)(15)(20) | Senior Unsecured Debt | N/A | 12.50% | 6/29/2022 | 5,472 | 5,351 | 5,471 | 2.2 | % | |||||||||||||||
GAL Manufacturing | (13)(15) | Senior Secured Loans - First Lien | L+4.25% | 5.92% | 6/26/2023 | 5,539 | 5,451 | 5,451 | 2.2 | % | |||||||||||||||
GAL Manufacturing | (13)(15) | Senior Secured Loans - Second Lien | L+8.25% | 9.92% | 6/26/2024 | 6,000 | 5,878 | 5,875 | 2.4 | % | |||||||||||||||
GAL Manufacturing (Revolver) | (8)(13)(15) | Senior Secured Loans - First Lien | L+4.25% | —% | 6/26/2022 | — | 32 | 33 | — | % | |||||||||||||||
11,361 | 11,359 | 4.6 | % | ||||||||||||||||||||||
Hayward Industries, Inc. | (13)(15) | Senior Secured Loans - Second Lien | L+8.25% | 9.82% | 7/18/2025 | 6,000 | 5,897 | 5,970 | 2.4 | % | |||||||||||||||
SRS Distribution, Inc. | Senior Secured Loans - Second Lien | L+8.75% | 10.32% | 2/24/2023 | 6,790 | 6,713 | 7,002 | 2.8 | % | ||||||||||||||||
Total Construction & Building | 29,322 | 29,802 | 12.0 | % | |||||||||||||||||||||
Consumer Goods: Non-Durable | |||||||||||||||||||||||||
Implus Footcare, LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.44% | 4/30/2021 | 4,746 | 4,700 | 4,706 | 1.9 | % | |||||||||||||||
Implus Footcare, LLC | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.35% | 4/30/2021 | 921 | 910 | 913 | 0.4 | % | |||||||||||||||
5,610 | 5,619 | 2.3 | % | ||||||||||||||||||||||
Mattel, Inc. | (11) | Senior Unsecured Debt | N/A | 6.75% | 12/31/2025 | 2,000 | 2,000 | 2,027 | 0.8 | % | |||||||||||||||
Total Consumer Goods: Non-Durable | 7,610 | 7,646 | 3.1 | % | |||||||||||||||||||||
December 31, 2017 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (19) | Fair Value | % of Net Assets | ||||||||||||||||
Consumer Goods: Durable | |||||||||||||||||||||||||
Williams Scotsman International, Inc. | (11)(13) | Senior Secured Bonds | N/A | 7.88% | 12/15/2022 | 700 | 700 | 721 | 0.3 | % | |||||||||||||||
Total Consumer Goods: Durable | 700 | 721 | 0.3 | % | |||||||||||||||||||||
Containers, Packaging & Glass | |||||||||||||||||||||||||
Bioplan USA, Inc. | Senior Secured Loans - First Lien | L+4.75% | 6.32% | 9/23/2021 | 5,512 | 5,028 | 5,411 | 2.2 | % | ||||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - First Lien | L+4.50% | 6.19% | 5/26/2023 | 2,974 | 2,947 | 2,945 | 1.2 | % | |||||||||||||||
Resource Label Group LLC | (15) | Senior Secured Loans - Second Lien | L+8.50% | 10.19% | 11/26/2023 | 3,000 | 2,958 | 3,000 | 1.2 | % | |||||||||||||||
5,905 | 5,945 | 2.4 | % | ||||||||||||||||||||||
Total Containers, Packaging & Glass | 10,933 | 11,356 | 4.6 | % | |||||||||||||||||||||
Energy: Oil & Gas | |||||||||||||||||||||||||
BreitBurn Energy Partners LP | (11)(15)(16) | Senior Secured Bonds | N/A | —% | 5/18/2020 | 3,250 | 3,153 | 3,250 | 1.3 | % | |||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.75% | 1/15/2022 | 2,250 | 2,209 | 2,081 | 0.8 | % | |||||||||||||||
Ferrellgas, LP | (11) | Senior Unsecured Debt | N/A | 6.75% | 6/15/2023 | 1,855 | 1,769 | 1,702 | 0.7 | % | |||||||||||||||
3,978 | 3,783 | 1.5 | % | ||||||||||||||||||||||
Moss Creek Resources | (13)(15) | Senior Unsecured Debt | L+8.00% | 9.50% | 3/29/2022 | 9,333 | 9,148 | 9,217 | 3.7 | % | |||||||||||||||
Penn Virginia | (11)(13)(15) | Senior Secured Loans - Second Lien | L+7.00% | 8.57% | 9/29/2022 | 3,000 | 2,942 | 2,943 | 1.2 | % | |||||||||||||||
Total Energy: Oil & Gas | 19,221 | 19,193 | 7.7 | % | |||||||||||||||||||||
Healthcare & Pharmaceuticals | |||||||||||||||||||||||||
Alegeus Technology LLC | (15) | Senior Secured Loans - First Lien | L+5.00% | 6.69% | 4/28/2023 | 995 | 985 | 986 | 0.4 | % | |||||||||||||||
Alltech | (13)(15) | Subordinated Debt | L+7.75% | 9.32% | 7/9/2023 | 14,376 | 14,204 | 14,210 | 5.7 | % | |||||||||||||||
Alltech | (13)(15) | Subordinated Debt | L+7.75% | 8.75% | 7/9/2023 | € | 601 | 620 | 713 | 0.3 | % | ||||||||||||||
14,824 | 14,923 | 6.0 | % | ||||||||||||||||||||||
Hanger, Inc. | (11)(15) | Senior Unsecured Debt | N/A | 11.50% | 8/1/2019 | 4,000 | 3,957 | 4,150 | 1.7 | % | |||||||||||||||
WIRB-Copernicus Group | (15) | Senior Secured Loans - Second Lien | L+9.00% | 10.69% | 8/15/2023 | 8,000 | 7,865 | 7,912 | 3.2 | % | |||||||||||||||
WIRB-Copernicus Group | (15) | Senior Secured Loans - Second Lien | L+9.00% | 10.69% | 8/15/2023 | 4,000 | 3,950 | 3,956 | 1.6 | % | |||||||||||||||
11,815 | 11,868 | 4.8 | % | ||||||||||||||||||||||
Total Healthcare & Pharmaceuticals | 31,581 | 31,927 | 12.9 | % | |||||||||||||||||||||
Hotel, Gaming & Leisure | |||||||||||||||||||||||||
Bay Club Company | Senior Secured Loans - First Lien | L+6.50% | 8.07% | 8/24/2022 | 7,640 | 7,470 | 7,755 | 3.1 | % | ||||||||||||||||
Total Hotel, Gaming & Leisure | 7,470 | 7,755 | 3.1 | % |
December 31, 2017 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (19) | Fair Value | % of Net Assets | ||||||||||||||||
Media: Advertising, Printing & Publishing | |||||||||||||||||||||||||
Boats Group | (15) | Senior Secured Loans - First Lien | L+5.75% | 7.08% | 9/9/2022 | 6,913 | 6,847 | 6,849 | 2.7 | % | |||||||||||||||
Boats Group (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+5.75% | —% | 8/10/2021 | — | (93 | ) | (93 | ) | — | % | |||||||||||||
6,754 | 6,756 | 2.7 | % | ||||||||||||||||||||||
Trader Interactive | (15) | Senior Secured Loans - First Lien | L+6.00% | 7.50% | 6/15/2024 | 5,626 | 5,626 | 5,536 | 2.2 | % | |||||||||||||||
Trader Interactive (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.00% | —% | 6/15/2023 | — | (47 | ) | (47 | ) | — | % | |||||||||||||
5,579 | 5,489 | 2.2 | % | ||||||||||||||||||||||
Total Media: Advertising, Printing & Publishing | 12,333 | 12,245 | 4.9 | % | |||||||||||||||||||||
Media: Broadcasting & Subscription | |||||||||||||||||||||||||
ProQuest, LLC | (15) | Senior Secured Loans - Second Lien | L+9.00% | 10.55% | 12/15/2022 | 531 | 522 | 515 | 0.2 | % | |||||||||||||||
Total Media: Broadcasting & Subscription | 522 | 515 | 0.2 | % | |||||||||||||||||||||
Metals & Mining | |||||||||||||||||||||||||
New Day Aluminum, LLC | (14)(15)(21) | Senior Secured Bonds | N/A | 10.00% | 10/28/2020 | 23 | 1 | 23 | — | % | |||||||||||||||
Total Metals & Mining | 1 | 23 | — | % | |||||||||||||||||||||
Retail | |||||||||||||||||||||||||
Belk, Inc. | Senior Secured Loans - First Lien | L+4.75% | 6.10% | 12/12/2022 | 2,274 | 2,079 | 1,874 | 0.8 | % | ||||||||||||||||
Blue Nile, Inc. | (15) | Senior Secured Loans - First Lien | L+6.50% | 8.19% | 2/17/2023 | 11,700 | 11,388 | 11,788 | 4.7 | % | |||||||||||||||
Med Intermediate (MyEyeDr) | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.82% | 8/14/2021 | 4,792 | 4,756 | 4,825 | 1.9 | % | |||||||||||||||
Med Intermediate (MyEyeDr) (Delayed Draw) | (8)(15) | Senior Secured Loans - First Lien | L+6.25% | 7.60% | 8/16/2021 | 138 | 116 | 150 | 0.1 | % | |||||||||||||||
Med Intermediate (MyEyeDr) (Term Loan B) | (15) | Senior Secured Loans - First Lien | L+6.25% | 7.82% | 8/16/2021 | 1,253 | 1,239 | 1,262 | 0.5 | % | |||||||||||||||
6,111 | 6,237 | 2.5 | % | ||||||||||||||||||||||
Pet Holdings ULC | CN(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.84% | 6/23/2022 | 4,444 | 4,386 | 4,433 | 1.8 | % | |||||||||||||||
Pet Holdings ULC (Delayed Draw) | CN(8)(10)(11)(15) | Senior Secured Loans - First Lien | L+5.50% | 6.90% | 6/23/2022 | 374 | 374 | 373 | 0.2 | % | |||||||||||||||
4,760 | 4,806 | 2.0 | % | ||||||||||||||||||||||
Toys R Us (DIP) | (13) | Senior Secured Loans - First Lien | L+6.75% | 8.32% | 1/22/2019 | 4,000 | 3,990 | 4,017 | 1.6 | % | |||||||||||||||
Welcome Break | UK(10)(11)(15) | Senior Secured Loans - Second Lien | L+8.00% | 8.29% | 1/26/2023 | £ | 5,989 | 7,382 | 7,985 | 3.2 | % | ||||||||||||||
Total Retail | 35,710 | 36,707 | 14.8 | % | |||||||||||||||||||||
Services: Business | |||||||||||||||||||||||||
ACA Compliance Group | (15) | Senior Secured Loans - First Lien | L+4.75% | 6.32% | 1/30/2021 | 995 | 986 | 999 | 0.4 | % |
December 31, 2017 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (19) | Fair Value | % of Net Assets | ||||||||||||||||
BHI Energy | (13)(15) | Senior Secured Loans - Second Lien | L+8.75% | 10.08% | 2/25/2025 | 6,000 | 5,883 | 5,970 | 2.4 | % | |||||||||||||||
Total Services: Business | 6,869 | 6,969 | 2.8 | % | |||||||||||||||||||||
Technology | |||||||||||||||||||||||||
Advanced Computer Software | UK(10)(11) | Senior Secured Loans - First Lien | L+5.50% | 6.94% | 3/18/2022 | 740 | 722 | 735 | 0.3 | % | |||||||||||||||
Advanced Computer Software | UK(10)(11) | Senior Secured Loans - Second Lien | L+9.50% | 10.94% | 1/31/2023 | 6,000 | 5,562 | 5,708 | 2.2 | % | |||||||||||||||
6,284 | 6,443 | 2.5 | % | ||||||||||||||||||||||
Advicent Solutions | (15) | Senior Secured Loans - First Lien | L+8.25% | 9.58% | 2/28/2022 | 7,126 | 6,978 | 7,017 | 2.8 | % | |||||||||||||||
Bullhorn, Inc. | (13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.20% | 11/21/2022 | 5,531 | 5,497 | 5,497 | 2.2 | % | |||||||||||||||
Bullhorn, Inc. (Term Loan B) | (13)(15) | Senior Secured Loans - First Lien | L+6.75% | 8.20% | 11/21/2022 | 196 | 196 | 196 | 0.1 | % | |||||||||||||||
Bullhorn, Inc. (Delayed Draw) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.75% | —% | 11/21/2022 | (1 | ) | (1 | ) | — | — | % | |||||||||||||
Bullhorn, Inc. (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.75% | —% | 11/21/2022 | — | (9 | ) | (9 | ) | — | % | |||||||||||||
5,683 | 5,684 | 2.3 | % | ||||||||||||||||||||||
Causeway Technologies | UK(10)(11)(15) | Senior Secured Loans - First Lien | L+7.00% | 7.52% | 6/2/2024 | £ | 2,300 | 2,914 | 3,048 | 1.2 | % | ||||||||||||||
Cologix Holdings | Senior Secured Loans - Second Lien | L+7.00% | 8.55% | 3/20/2025 | 3,000 | 2,970 | 3,029 | 1.2 | % | ||||||||||||||||
Epicor Software, Corp. | (15) | Senior Secured Bonds | L+8.25% | 9.40% | 5/21/2023 | 5,000 | 4,884 | 5,000 | 2.0 | % | |||||||||||||||
Greenway Health, LLC | (15) | Senior Secured Loans - First Lien | L+4.25% | 5.94% | 2/16/2024 | 7,960 | 7,888 | 8,000 | 3.2 | % | |||||||||||||||
Lytx, Inc. | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.44% | 8/31/2023 | 6,615 | 6,463 | 6,460 | 2.6 | % | |||||||||||||||
Lytx, Inc. (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.75% | —% | 8/31/2022 | — | (43 | ) | (43 | ) | — | % | |||||||||||||
6,420 | 6,417 | 2.6 | % | ||||||||||||||||||||||
Ministry Brands | (13)(15) | Senior Secured Loans - First Lien | L+5.00% | 6.24% | 12/2/2022 | 976 | 967 | 976 | 0.4 | % | |||||||||||||||
Ministry Brands (Delayed Draw) | (8)(13)(15) | Senior Secured Loans - First Lien | L+5.00% | 6.25% | 12/2/2022 | 636 | 632 | 635 | 0.3 | % | |||||||||||||||
1,599 | 1,611 | 0.7 | % | ||||||||||||||||||||||
Onyx CenterSource | (15) | Senior Secured Loans - First Lien | L+6.75% | 8.45% | 12/20/2021 | 7,161 | 7,134 | 7,134 | 2.9 | % | |||||||||||||||
Onyx CenterSource (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+6.75% | —% | 12/20/2021 | — | (41 | ) | (33 | ) | — | % | |||||||||||||
7,093 | 7,101 | 2.9 | % | ||||||||||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - First Lien | L+5.25% | 6.82% | 1/18/2023 | 4,355 | 4,297 | 4,312 | 1.7 | % | |||||||||||||||
Planview, Inc. | (15) | Senior Secured Loans - Second Lien | L+9.75% | 11.32% | 7/27/2023 | 4,388 | 4,324 | 4,332 | 1.7 | % |
December 31, 2017 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (19) | Fair Value | % of Net Assets | ||||||||||||||||
8,621 | 8,644 | 3.4 | % | ||||||||||||||||||||||
PluralSight Holdings | (13)(15) | Senior Secured Loans - First Lien | L+8.50% | 10.20% | 6/12/2023 | 5,830 | 5,736 | 5,734 | 2.3 | % | |||||||||||||||
PluralSight Holdings (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | L+8.50% | —% | 6/12/2022 | — | (28 | ) | (28 | ) | — | % | |||||||||||||
5,708 | 5,706 | 2.3 | % | ||||||||||||||||||||||
Tritech Software Systems | (15) | Senior Secured Loans - First Lien | L+4.50% | 5.85% | 4/3/2023 | 5,672 | 5,621 | 5,622 | 2.3 | % | |||||||||||||||
Tritech Software Systems | (15) | Senior Secured Loans - Second Lien | L+8.50% | 9.85% | 10/17/2023 | 6,000 | 5,951 | 5,953 | 2.4 | % | |||||||||||||||
11,572 | 11,575 | 4.7 | % | ||||||||||||||||||||||
Velocity Holdings US | (13)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.44% | 1/24/2024 | 5,538 | 5,403 | 5,402 | 2.2 | % | |||||||||||||||
Velocity Holdings US (Revolver) | (8)(13)(15)(18) | Senior Secured Loans - First Lien | N/A | —% | 12/12/2022 | — | (58 | ) | (57 | ) | — | % | |||||||||||||
5,345 | 5,345 | 2.2 | % | ||||||||||||||||||||||
Total Technology | 83,959 | 84,620 | 34.0 | % | |||||||||||||||||||||
Telecommunications | |||||||||||||||||||||||||
Eco-Site (Delayed Draw) | (13)(15) | Senior Secured Loans - First Lien | L+8.00% | 9.34% | 2/3/2022 | 12,857 | 12,694 | 12,671 | 5.1 | % | |||||||||||||||
Total Telecommunications | 12,694 | 12,671 | 5.1 | % | |||||||||||||||||||||
Utilities: Electric | |||||||||||||||||||||||||
Moxie Liberty, LLC | Senior Secured Loans - First Lien | L+6.50% | 8.19% | 8/21/2020 | 2,951 | 2,899 | 2,723 | 1.1 | % | ||||||||||||||||
Moxie Patriot, LLC | Senior Secured Loans - First Lien | L+5.75% | 7.44% | 12/21/2020 | 630 | 612 | 620 | 0.3 | % | ||||||||||||||||
MRP Generation Holdings, LLC | (11)(15) | Senior Secured Loans - First Lien | L+7.00% | 8.69% | 10/18/2022 | 4,938 | 4,690 | 4,592 | 1.8 | % | |||||||||||||||
PrimeLine Utility Services | (13)(14)(15)(22) | Senior Unsecured Debt | N/A | 16.00% | 6/1/2020 | 2,193 | 2,163 | 2,475 | 1.0 | % | |||||||||||||||
Total Utilities: Electric | 10,364 | 10,410 | 4.2 | % | |||||||||||||||||||||
Total Debt Investments | $ | 366,958 | $ | 371,747 | 149.6 | % | |||||||||||||||||||
Equity investments - 0.3% | |||||||||||||||||||||||||
Energy: Oil & Gas | |||||||||||||||||||||||||
BreitBurn Energy Partners LP (Preferred Equity) | (9)(11)(13)(15)(17) | Equity and Other | N/A | —% | 251,406 | $ | 1,885 | $ | — | — | % | ||||||||||||||
SandRidge Energy, Inc. (Common Equity) | (11)(17) | Equity and Other | N/A | N/A | 21,624 | 456 | 456 | 0.2 | % | ||||||||||||||||
Total Energy: Oil & Gas | 2,341 | 456 | 0.2 | % | |||||||||||||||||||||
Technology | |||||||||||||||||||||||||
Velocity Holdings US (Class A Units) | (13)(15)(17) | Equity and Other | N/A | N/A | 231 | $ | 231 | $ | 231 | 0.1 | % | ||||||||||||||
Total Technology | 231 | 231 | 0.1 | % |
December 31, 2017 (in thousands, except share data) | |||||||||||||||||||||||||
Portfolio Company (1) (2) (3) | Footnotes | Investment | Spread Above Reference Rate (4) | Interest Rate (4) (5) | Maturity Date | Principal / Par Amount / Shares (6) | Amortized Cost (7) (19) | Fair Value | % of Net Assets | ||||||||||||||||
Total Equity Investments | $ | 2,572 | $ | 687 | 0.3 | % | |||||||||||||||||||
Total Investments - 149.9% | $ | 369,530 | $ | 372,434 | 149.9 | % |
December 31, 2017 (in thousands) | |||||||||||||||||
Derivative Counterparty | Settlement Date | Amount Purchased | Amount Sold | Amortized Cost (7) | Fair Value | % of Net Assets | |||||||||||
Foreign Currency Forward Contracts | |||||||||||||||||
JPMorgan Chase Bank | 1/10/2018 | $703 | €594 | $ | — | $ | (10 | ) | — | % | |||||||
JPMorgan Chase Bank | 1/10/2018 | $24,380 | €18,191 | $ | — | $ | (189 | ) | (0.1 | )% |
(1) | Security may be an obligation of one or more entities affiliated with the named portfolio company. |
(2) | All debt and equity investments are income producing unless otherwise noted. |
(3) | All investments are non-controlled/non-affiliated investments as defined by the 1940 Act; non-controlled/non-affiliated investments are investments that are neither controlled investments nor affiliated investments. |
(4) | The periodic interest rate for all floating rate loans is indexed to London Interbank Offered Rate ("LIBOR" or "LIBO rate"), (denoted as "L") or Prime Rate, (denoted as "P"). Pursuant to the terms of the underlying credit agreements, the base interest rates typically reset annually, semi-annually, quarterly, or monthly at the borrower's option. The borrower may also elect to have multiple interest reset periods for each loan. For each of these floating rate loans, the Consolidated Schedule of Investments presents the applicable margin over LIBOR based on each respective credit agreement. As of December 31, 2017, LIBO rates ranged between 1.56% for 1-month LIBOR to 1.69% for 3-month LIBOR. |
(5) | For portfolio companies with multiple interest rate contracts, the interest rate shown is a weighted average current interest rate in effect at December 31, 2017. |
(6) | Unless noted otherwise, the principal amount (par amount) for all debt securities is denominated in U.S. dollars. Equity investments are recorded as number of shares owned. |
(7) | Cost represents amortized cost for debt securities, and cost plus capitalized PIK, if any, for preferred stock; currency amounts are presented in U.S. dollars. |
(8) | The investment is either a delayed draw loan or a revolving credit facility whereby some or all of the investment commitment is undrawn as of December 31, 2017 (see Note 8. Commitments and Contingencies). |
(9) | The preferred stock investment contains a PIK provision, whereby the security issuer has the option to pay preferred dividends with the issuance of additional identical securities in the initial three year period after issuance. Since the initial investment date through March 2016, all dividend payments have been paid with the issuance of additional shares of preferred stock. The security issuer ceased paying PIK dividends in April 2016. |
(10) | A portfolio company domiciled in a foreign country. The regulatory jurisdiction of security issuance may be a different country than the domicile of the portfolio company. |
(11) | The investment is not a qualifying asset as defined in Section 55(a) of the 1940 Act. As of December 31, 2017, qualifying assets represented 82% of total assets. Under the 1940 Act we may not acquire any non-qualifying assets unless, at the time the acquisition is made, qualifying assets represent at least 70% of our total assets. |
(12) | Investment position or portion thereof unsettled as of December 31, 2017. |
(13) | Security or portion thereof was not pledged as collateral supporting the amounts outstanding under a credit facility as of December 31, 2017; (see Note 7. Borrowings). |
(14) | The underlying credit agreement or indenture contains a PIK provision, whereby the issuer has either the option or the obligation to make interest payments with the issuance of additional securities. The interest rate in the schedule represents the current interest rate in effect for these investments. |
(15) | Investment's value was determined using significant unobservable inputs (see Note 2. Significant Accounting Policies). |
(16) | Investment was on non-accrual status as of December 31, 2017, meaning that the Company has ceased recognizing interest income on these investments. As of December 31, 2017, debt investments on non-accrual status represented 0.9% and 0.9% of total investments on an amortized cost basis and fair value basis, respectively. |
(17) | Non-income producing security. |
(18) | The negative fair value is the result of the capitalized discount on the loan or the unfunded commitment being valued below par. The negative amortized cost is the result of the capitalized discount being greater than the principal amount outstanding on the loan. |
(19) | As of December 31, 2017, the aggregate gross unrealized appreciation for all securities, including foreign currency forward contracts, in which there was an excess of value over tax cost was $6,527; the aggregate gross unrealized depreciation for all securities, including foreign currency forward contracts, in which there was an excess of tax cost over value was $4,008; the net unrealized appreciation was $2,519; the aggregate cost of securities for Federal income tax purposes was $369,530. |
(20) | Interest rate is currently composed of 12.5% cash and 0% PIK. The portfolio company may elect PIK up to 1%. |
(21) | Interest rate is currently composed of 4% cash and 6% PIK. The portfolio company may elect PIK up to 6%. |
(22) | Interest rate is currently composed of 0% cash and 16% PIK. In year three, the PIK portion of the investment increases to 20%. |
September 30, 2018 | ||||||||||
Amortized Cost | Fair Value | Percentage of Investments at Fair Value | ||||||||
Senior secured loans - first lien | $ | 237,655 | $ | 239,615 | 64.4 | % | ||||
Senior secured loans - second lien | 76,444 | 74,848 | 20.1 | |||||||
Senior secured bonds | 17,725 | 17,171 | 4.6 | |||||||
Senior unsecured debt | 15,011 | 14,738 | 4.0 | |||||||
Total senior debt | $ | 346,835 | $ | 346,372 | 93.1 | % | ||||
Subordinated debt | 14,844 | 14,923 | 4.0 | |||||||
Equity and other | 10,501 | 10,888 | 2.9 | |||||||
Total investments | $ | 372,180 | $ | 372,183 | 100.0 | % |
December 31, 2017 | ||||||||||
Amortized Cost | Fair Value | Percentage of Investments at Fair Value | ||||||||
Senior secured loans - first lien | $ | 231,212 | $ | 234,362 | 62.9 | % | ||||
Senior secured loans - second lien | 81,587 | 82,203 | 22.1 | |||||||
Senior secured bonds | 10,738 | 11,044 | 3.0 | |||||||
Senior unsecured debt | 28,597 | 29,215 | 7.8 | |||||||
Total senior debt | $ | 352,134 | $ | 356,824 | 95.8 | % | ||||
Subordinated debt | 14,824 | 14,923 | 4.0 | |||||||
Equity and other | 2,572 | 687 | 0.2 | |||||||
Total investments | $ | 369,530 | $ | 372,434 | 100.0 | % |
September 30, 2018 | December 31, 2017 | |||||||||||||||||||||
Industry Classification | Amortized Cost | Fair Value | Percentage of Investments at Fair Value | Amortized Cost | Fair Value | Percentage of Investments at Fair Value | ||||||||||||||||
Technology | $ | 70,290 | $ | 71,010 | 19.1 | % | $ | 84,190 | $ | 84,851 | 22.8 | % | ||||||||||
Healthcare & Pharmaceuticals | 37,997 | 38,554 | 10.4 | 31,581 | 31,927 | 8.6 | ||||||||||||||||
Beverage, Food & Tobacco | 39,711 | 37,374 | 10.0 | 41,601 | 42,117 | 11.3 | ||||||||||||||||
Services: Business | 32,390 | 32,883 | 8.8 | 6,869 | 6,969 | 1.9 | ||||||||||||||||
Retail | 25,254 | 25,907 | 7.0 | 35,710 | 36,707 | 9.9 | ||||||||||||||||
Media: Advertising, Printing & Publishing | 24,642 | 24,447 | 6.6 | 12,333 | 12,245 | 3.3 | ||||||||||||||||
Energy: Oil & Gas | 21,538 | 21,138 | 5.7 | 21,562 | 19,649 | 5.3 | ||||||||||||||||
Automotive | 17,569 | 18,105 | 4.9 | 25,809 | 26,429 | 7.1 | ||||||||||||||||
Construction & Building | 17,085 | 17,235 | 4.6 | 29,322 | 29,802 | 8.0 | ||||||||||||||||
Utilities: Electric | 13,818 | 13,820 | 3.7 | 10,364 | 10,410 | 2.8 | ||||||||||||||||
Banking, Finance, Insurance & Real Estate (1) | 11,768 | 11,649 | 3.1 | 1,195 | 1,233 | 0.3 | ||||||||||||||||
Containers, Packaging & Glass | 10,817 | 10,961 | 2.9 | 10,933 | 11,356 | 3.0 | ||||||||||||||||
Consumer goods: Non-durable | 9,581 | 9,589 | 2.6 | 7,610 | 7,646 | 2.0 | ||||||||||||||||
Aerospace & Defense | 9,240 | 9,170 | 2.5 | 18,697 | 18,800 | 5.0 | ||||||||||||||||
Capital Equipment | 6,304 | 6,399 | 1.7 | 4,618 | 4,760 | 1.3 | ||||||||||||||||
Hotel, Gaming & Leisure | 5,780 | 5,886 | 1.6 | 7,470 | 7,755 | 2.1 | ||||||||||||||||
Chemicals, Plastics & Rubber | 5,636 | 5,729 | 1.5 | 5,749 | 5,848 | 1.6 | ||||||||||||||||
Telecommunications | 4,723 | 4,749 | 1.3 | 12,694 | 12,671 | 3.4 | ||||||||||||||||
Consumer Goods: Durable | 4,136 | 4,120 | 1.1 | 700 | 721 | 0.2 | ||||||||||||||||
Transportation: Cargo | 3,901 | 3,458 | 0.9 | — | — | — | ||||||||||||||||
Media: Broadcasting & Subscription | — | — | — | 522 | 515 | 0.1 | ||||||||||||||||
Metals & Mining | — | — | — | 1 | 23 | — | ||||||||||||||||
Total investments | $ | 372,180 | $ | 372,183 | 100.0 | % | $ | 369,530 | $ | 372,434 | 100.0 | % |
(1) | Portfolio companies included in this classification may include insurance brokers that are not classified as insurance companies. |
Geographic Dispersion | September 30, 2018 | December 31, 2017 | ||||
United States of America | 83.6 | % | 88.9 | % | ||
United Kingdom | 11.6 | 8.2 | ||||
Canada | 2.3 | 1.3 | ||||
Italy | 1.5 | 1.6 | ||||
Ireland | 1.0 | — | ||||
Total investments | 100.0 | % | 100.0 | % |
September 30, 2018 | ||||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||||
EUR | October 10, 2018 | Unrealized appreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | € | 697 | $ | 812 | $ | 810 | $ | 2 | |||||||||||
GBP | October 10, 2018 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 24,295 | 31,397 | 31,680 | (283 | ) | |||||||||||||
GBP | October 10, 2018 | Unrealized appreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 1,977 | 2,588 | 2,578 | 10 | ||||||||||||||
GBP | October 10, 2018 | Unrealized appreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 325 | 427 | 424 | 3 | ||||||||||||||
Total | $ | 35,224 | $ | 35,492 | $ | (268 | ) |
December 31, 2017 | ||||||||||||||||||||||
Foreign Currency | Settlement Date | Statement Location | Counterparty | Amount Transacted | Notional Value at Settlement | Notional Value at Period End | Fair Value | |||||||||||||||
EUR | January 10, 2018 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | € | 594 | $ | 703 | $ | 713 | $ | (10 | ) | ||||||||||
GBP | January 10, 2018 | Unrealized depreciation on foreign currency forward contracts | JPMorgan Chase Bank, N.A. | £ | 18,191 | 24,380 | 24,569 | (189 | ) | |||||||||||||
Total | $ | 25,083 | $ | 25,282 | $ | (199 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||
Statement Location | 2018 | 2017 | 2018 | 2017 | ||||||||||||||
Net realized gains (losses) | ||||||||||||||||||
Foreign currency forward contracts | Net realized gains (losses) on foreign currency forward contracts | $ | 1,054 | $ | (410 | ) | $ | 1,281 | $ | (1,029 | ) | |||||||
Net change in unrealized appreciation (depreciation) | ||||||||||||||||||
Foreign currency forward contracts | Net change in unrealized depreciation on foreign currency forward contracts | (700 | ) | (217 | ) | (69 | ) | (377 | ) | |||||||||
Net realized and unrealized gains (losses) on foreign currency forward contracts | $ | 354 | $ | (627 | ) | $ | 1,212 | $ | (1,406 | ) |
September 30, 2018 | ||||||||||||||||
Counterparty | Gross Derivative Assets in Statement of Assets and Liabilities | Gross Derivative Liabilities in Statement of Assets and Liabilities | Collateral Pledged (1) | Net position of Derivative Assets, Liabilities and Pledged Collateral | ||||||||||||
JP Morgan Chase Bank, N.A. | $ | 15 | $ | (283 | ) | $ | 268 | $ | — |
(1) | Collateral paid to (by) counterparties may be more than the amount shown in the table above, as the table does not present the effects of over-collateralization, if any. |
September 30, 2018 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | |||||||||||||||
Senior secured loans - first lien | $ | — | $ | 62,975 | $ | 176,640 | $ | 239,615 | |||||||
Senior secured loans - second lien | — | 11,562 | 63,286 | 74,848 | |||||||||||
Senior secured bonds | — | 17,171 | — | 17,171 | |||||||||||
Senior unsecured debt | — | 12,829 | 1,909 | 14,738 | |||||||||||
Total senior debt | $ | — | $ | 104,537 | $ | 241,835 | $ | 346,372 | |||||||
Subordinated debt | — | — | 14,923 | 14,923 | |||||||||||
Equity and other | 231 | — | 10,657 | 10,888 | |||||||||||
Total investments | $ | 231 | $ | 104,537 | $ | 267,415 | $ | 372,183 | |||||||
Percentage | 0.1 | % | 28.1 | % | 71.8 | % | 100.0 | % | |||||||
Derivative Instruments | |||||||||||||||
Foreign currency forward contracts | $ | — | $ | (268 | ) | $ | — | $ | (268 | ) |
December 31, 2017 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | |||||||||||||||
Senior secured loans - first lien | $ | — | $ | 37,354 | $ | 197,008 | $ | 234,362 | |||||||
Senior secured loans - second lien | — | 15,739 | 66,464 | 82,203 | |||||||||||
Senior secured bonds | — | 2,771 | 8,273 | 11,044 | |||||||||||
Senior unsecured debt | — | 7,902 | 21,313 | 29,215 | |||||||||||
Total senior debt | $ | — | $ | 63,766 | $ | 293,058 | $ | 356,824 | |||||||
Subordinated debt | — | — | 14,923 | 14,923 | |||||||||||
Equity and other | 456 | — | 231 | 687 | |||||||||||
Total investments | $ | 456 | $ | 63,766 | $ | 308,212 | $ | 372,434 | |||||||
Percentage | 0.1 | % | 17.1 | % | 82.8 | % | 100.0 | % | |||||||
Derivative Instruments | |||||||||||||||
Foreign currency forward contracts | $ | — | $ | (199 | ) | $ | — | $ | (199 | ) |
September 30, 2018 | ||||||||
Asset Category | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | ||
Senior secured loans - first lien | $ | 125,361 | Yield analysis | Yield | 8.92% | 4.75% - 12.59% | Decrease | |
Senior secured loans - second lien | $ | 457 | Transacted value | Cost (5) | 99.00 | 99.00 | Increase | |
$ | 39,815 | Yield analysis | Yield | 10.59% | 8.80% - 12.30% | Decrease | ||
Senior unsecured debt | $ | 1,909 | Yield analysis | Yield | 12.61% | 12.61% | Decrease | |
Subordinated debt | $ | 14,923 | Yield analysis | Yield | 10.20% | 9.01% - 10.25% | Decrease | |
Equity and other | $ | 2,822 | Transacted value | Cost (5) | 947.06 | 100 -1,000 | Increase | |
$ | 3,870 | Market Comparables | Capitalization rate | 7.00% | 7.00% | Increase | ||
$ | 3,413 | Market comparables | Cash flow multiple | 5.0x | 5.0x | Increase | ||
Market comparables | Oil production multiple (6) | 32,500.00 | 32,500.00 | Increase | ||||
Market comparables | Oil reserve multiple (7) | 7.50 | 7.50 | Increase | ||||
$ | 552 | Black-Scholes Model | Volatility | 39.62% | 39.62% | Increase | ||
Total | $ | 193,122 |
(1) | For the investments that have more than one valuation technique, the Master Fund may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0% to 100%. |
(2) | The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of September 30, 2018 the Master Fund had investments of this nature measured at fair value totaling $74.3 million. |
(3) | A range is not provided when there is only one investment within the classification or multiple investments that have the same unobservable input; weighted average amounts are based on the estimated fair values. |
(4) | This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |
(5) | Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value. |
(6) | Oil production multiple is valued based on thousand barrels of oil equivalent per day (MBOE/d). |
(7) | Oil reserve multiple is valued based on million barrels of oil equivalent (MMBOE). |
December 31, 2017 | ||||||||
Asset Category | Fair Value | Valuation Techniques (1) | Unobservable Inputs (2) | Weighted Average | Range (3) | Impact to Valuation from an Increase in Input (4) | ||
Senior secured loans - first lien | $ | 126,561 | Transacted value | Price | 100.00 | 100.00 | Increase | |
Transacted value | Cost (5) | 100.00 | 100.00 | Increase | ||||
Yield analysis | Yield | 8.75% | 6.29% - 13.57% | Decrease | ||||
Senior secured loans - second lien | $ | 42,838 | Yield analysis | Yield | 10.60% | 9.19% - 11.76% | Decrease | |
Senior secured bonds | $ | 5,023 | Transacted value | Price | 100.00 | 100.00 | Increase | |
Market comparables | EBITDA multiple | 9.3x | 9.3x | Increase | ||||
Senior unsecured debt | $ | 17,164 | Transacted value | Price | 98.75 | 98.75 | Increase | |
Yield analysis | Yield | 11.70% | 9.94% - 12.50% | Decrease | ||||
Subordinated debt | $ | 14,924 | Yield analysis | Yield | 9.72% | 9.72% | Decrease | |
Equity and other | $ | 231 | Transacted value | Cost (5) | 100.00 | 100.00 | Increase | |
Total | $ | 206,741 |
(1) | For the investments that have more than one valuation technique, the Master Fund may rely on the stated techniques individually or in the aggregate based on a weight ascribed to each valuation technique, ranging from 0% to 100%. |
(2) | The Master Fund generally uses prices provided by an independent pricing service, or directly from an independent broker, which are non-binding indicative prices on or near the valuation date as the primary basis for the fair valuation determinations for quoted senior secured bonds and loans. Since these prices are non-binding, they may not be indicative of fair value. Each quoted price is evaluated by Guggenheim in conjunction with additional information compiled by it, including financial performance, recent business developments and various other factors. Investments with fair values determined in this manner were not included in the table above. As of December 31, 2017, the Master Fund had investments of this nature measured at fair value totaling $101.5 million. |
(3) | A range is not provided when there is only one investment within the classification; weighted average amounts are based on the estimated fair values. |
(4) | This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs in isolation could result in significantly higher or lower fair value measurements. |
(5) | Investments may be valued at cost for a period of time after acquisition as the best indicator of fair value. |
Three Months Ended September 30, 2018 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of July 1, 2018 | $ | 176,535 | $ | 73,422 | $ | 4,292 | $ | 7,480 | $ | 14,919 | $ | 10,325 | $ | 286,973 | |||||||||||||
Additions (1) | 22,431 | 452 | — | — | — | 159 | 23,042 | ||||||||||||||||||||
Sales and repayments (2) | (4,737 | ) | (9,744 | ) | (4,335 | ) | (6,019 | ) | — | — | (24,835 | ) | |||||||||||||||
Net realized gains (3) | 38 | 191 | 154 | 672 | — | — | 1,055 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (4) | 279 | (83 | ) | (112 | ) | (229 | ) | (3 | ) | 173 | 25 | ||||||||||||||||
Net discount accretion | 137 | 35 | 1 | 5 | 7 | — | 185 | ||||||||||||||||||||
Transfers into Level 3 (5) (6) | 6,208 | 3,068 | — | — | — | — | 9,276 | ||||||||||||||||||||
Transfers out Level 3 (5) (7) | (24,251 | ) | (4,055 | ) | — | — | — | — | (28,306 | ) | |||||||||||||||||
Fair value balance as of September 30, 2018 | $ | 176,640 | $ | 63,286 | $ | — | $ | 1,909 | $ | 14,923 | $ | 10,657 | $ | 267,415 | |||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2018 | $ | 266 | $ | (1,732 | ) | $ | (243 | ) | $ | (62 | ) | $ | (3 | ) | $ | 30 | $ | (1,744 | ) |
Nine Months Ended September 30, 2018 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of January 1, 2018 | $ | 197,008 | $ | 66,464 | $ | 8,273 | $ | 21,313 | $ | 14,923 | $ | 231 | $ | 308,212 | |||||||||||||
Additions (1) | 60,557 | 24,239 | — | 2,036 | — | 6,410 | 93,242 | ||||||||||||||||||||
Sales and repayments (2) | (59,506 | ) | (19,942 | ) | (5,081 | ) | (22,546 | ) | — | — | (107,075 | ) | |||||||||||||||
Net realized gains (losses) (3) | 2,342 | 299 | 445 | 1,823 | — | (1,886 | ) | 3,023 | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (4) | (223 | ) | 5 | (235 | ) | (741 | ) | (19 | ) | 2,489 | 1,276 | ||||||||||||||||
Net discount accretion | 431 | 54 | 11 | 24 | 19 | — | 539 | ||||||||||||||||||||
Restructuring | — | — | (3,413 | ) | — | — | 3,413 | — | |||||||||||||||||||
Transfers into Level 3 (5) (6) | 15,770 | 3,068 | — | — | — | — | 18,838 | ||||||||||||||||||||
Transfers out Level 3 (5) (7) | (39,739 | ) | (10,901 | ) | — | — | — | — | (50,640 | ) | |||||||||||||||||
Fair value balance as of September 30, 2018 | $ | 176,640 | $ | 63,286 | $ | — | $ | 1,909 | $ | 14,923 | $ | 10,657 | $ | 267,415 | |||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2018 | $ | (518 | ) | $ | (1,688 | ) | $ | (626 | ) | $ | (78 | ) | $ | (19 | ) | $ | 388 | $ | (2,541 | ) |
(1) | Includes increases in the cost basis of investments resulting from new and incremental portfolio investments, including the capitalization of PIK income. |
(2) | Includes principal payments/paydowns on debt investments and proceeds from sales of investments. |
(3) | Included in net realized gains (losses) on investments in the consolidated statements of operations. |
(4) | Included in net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations. |
(5) | The Master Fund transfers investments in and out of Level 1, 2 and 3 securities at the value of the investment as of the beginning of the quarter based on changes in the use of observable inputs utilized to perform the valuation for the quarter. |
(6) | For the three and nine months ended September 30, 2018, investments were transferred from Level 2 to Level 3 as valuation coverage was reduced by one independent pricing service. |
(7) | For the three and nine months ended September 30, 2018, investments were transferred from Level 3 to Level 2 as valuation coverage was initiated by one or more independent pricing services. |
Three Months Ended September 30, 2017 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of July 1, 2017 | $ | 124,215 | $ | 47,717 | $ | 19,900 | $ | 16,655 | $ | 15,210 | $ | 52 | $ | 223,749 | |||||||||||||
Additions (1) | 11,805 | 14,715 | — | 106 | 18 | — | 26,644 | ||||||||||||||||||||
Net realized gains (2) | 297 | 17 | — | — | — | — | 314 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (3) | (60 | ) | 438 | 1,006 | (40 | ) | 27 | (39 | ) | 1,332 | |||||||||||||||||
Sales or repayments (4) | (14,565 | ) | (457 | ) | — | — | — | — | (15,022 | ) | |||||||||||||||||
Net discount accretion | 150 | 34 | 3 | 24 | 6 | — | 217 | ||||||||||||||||||||
Transfers out of Level 3 (5) (6) | 68,245 | 1,198 | — | 4,150 | — | — | 73,593 | ||||||||||||||||||||
Fair value balance as of September 30, 2017 | $ | 190,087 | $ | 63,662 | $ | 20,909 | $ | 20,895 | $ | 15,261 | $ | 13 | $ | 310,827 | |||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2017 | $ | 141 | $ | 438 | $ | 1,006 | $ | (40 | ) | $ | 27 | $ | (39 | ) | $ | 1,533 |
Nine Months Ended September 30, 2017 | |||||||||||||||||||||||||||
Senior Secured Loans - First Lien | Senior Secured Loans - Second Lien | Senior Secured Bonds | Senior Unsecured Debt | Subordinated Debt | Equity and Other | Total | |||||||||||||||||||||
Balance as of January 1, 2017 | $ | 79,913 | $ | 24,750 | $ | 7,932 | $ | 5,410 | $ | 15,142 | $ | 53 | $ | 133,200 | |||||||||||||
Additions (1) | 107,203 | 45,109 | 12,000 | 13,803 | 17 | — | 178,132 | ||||||||||||||||||||
Net realized gains (2) | 1,003 | 293 | — | 26 | — | — | 1,322 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on investments (3) | 1,291 | 807 | 964 | 237 | 83 | (40 | ) | 3,342 | |||||||||||||||||||
Sales or repayments (4) | (39,002 | ) | (8,656 | ) | — | (2,632 | ) | — | — | (50,290 | ) | ||||||||||||||||
Net discount accretion | 372 | 86 | 13 | 51 | 19 | — | 541 | ||||||||||||||||||||
Transfers into Level 3 (5) (6) | 39,307 | 1,273 | — | 4,000 | — | — | 44,580 | ||||||||||||||||||||
Fair value balance as of September 30, 2017 | $ | 190,087 | $ | 63,662 | $ | 20,909 | $ | 20,895 | $ | 15,261 | $ | 13 | $ | 310,827 | |||||||||||||
Change in net unrealized appreciation (depreciation) on investments held as of September 30, 2017 | $ | 1,400 | $ | 807 | $ | 964 | $ | 237 | $ | 83 | $ | (40 | ) | $ | 3,451 |
(1) | Includes increases in the cost basis of investments resulting from new and incremental portfolio investments, including the capitalization of PIK income. |
(2) | Included in net realized gains (losses) on investments in the consolidated statements of operations. |
(3) | Included in net change in unrealized appreciation (depreciation) on investments in the consolidated statements of operations. |
(4) | Includes principal payments/paydowns on debt investments and proceeds from sales of investments. |
(5) | The Master Fund transfers investments in and out of Level 1, 2 and 3 securities at the value of the investment as of the beginning of the period based on changes in the use of observable inputs utilized to perform the valuation for the period. |
(6) | For the three and nine months ended September 30, 2017, twenty-two and twelve investments, respectively, were transferred from Level 2 to Level 3 primarily due to decreased price transparency. |
(i) | The incentive fee on income is paid quarterly, if earned; it is computed as the sum of (A) 100% of quarterly pre-incentive fee net investment income in excess of 1.875% of average adjusted capital up to a limit of 2.344% of average adjusted capital, and (B) 20% of pre-incentive fee net investment income in excess of 2.344% of average adjusted capital. |
(ii) | The incentive fee on capital gains is paid annually, if earned; it is equal to 20% of realized capital gains on a cumulative basis from inception, net of (A) all realized capital losses and unrealized depreciation on a cumulative basis from inception, and (B) the aggregate amount, if any, of previously paid incentive fees on capital gains. |
Related Party (1) | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
Source Agreement & Description | 2018 | 2017 | 2018 | 2017 | ||||||||||||||
CCA & Guggenheim | Prior Investment Advisory Agreement - management fee | $ | — | $ | 1,595 | $ | — | $ | 5,229 | |||||||||
Guggenheim | Investment Advisory Agreement - management fee | 1,822 | 391 | 5,418 | 391 | |||||||||||||
Guggenheim | Investment Advisory Agreement - performance-based incentive fee (2) | (51 | ) | — | 760 | — | ||||||||||||
CCA & Guggenheim | Prior Administrative Services Agreement - expense reimbursement | — | 80 | — | 303 | |||||||||||||
Guggenheim | Administrative Services Agreement - expense reimbursement | 184 | 25 | 465 | 25 | |||||||||||||
Guggenheim | Share on capital structuring fees and administrative agency fees | 122 | — | 187 | (315 | ) | ||||||||||||
WPC & Guggenheim | Reimbursement of advisor transition costs | — | (662 | ) | — | (662 | ) |
(1) | Related party transactions not included in the table above consist of Independent Trustees fees and expenses, and sales of the Master Fund Shares to affiliated Feeder Funds as disclosed in the Master Fund's consolidated statements of operations and consolidated statements of cash flows, respectively. |
(2) | During the three and nine months ended September 30, 2018 Guggenheim earned an incentive fee on capital gains in the amount of $(0.1) million and $0.8 million, respectively. During the three and nine months ended September 30, 2017, none of the accrued performance-based incentive fee was payable to CCA or Guggenheim (i.e. CCA and Guggenheim did not earn any performance-based incentive fee) and therefore the recorded performance-based incentive fee is not included in the table above. See Note 2. Significant Accounting Policies - Investment Advisory Fees. |
Hamilton Credit Facility - Borrowing Summary | ||||||||||||||||||||
As of | Total Principal Amount Committed | Principal Amount Outstanding | Carrying Value (1) | Interest Rate (2) | Maturity Date | Maturity Term | ||||||||||||||
September 30, 2018 | $ | 175,000 | $ | 150,000 | $ | 148,386 | 4.83 | % | 12/29/22 | 4.2 | years | |||||||||
December 31, 2017 | $ | 175,000 | $ | 150,000 | $ | 148,988 | 4.24 | % | 12/17/19 | 2.0 | years |
(1) | Carrying value is equal to outstanding principal amount net of unamortized financing costs. |
(2) | Interest rate as of the end of the reporting period (3-month LIBOR +2.50% and 3-month LIBOR +2.65% as of September 30, 2018 and December 31, 2017, respectively ) subject to quarterly reset. Interest rate is calculated as the weighted average interest rates of all tranches currently outstanding. Interest rate does not include the amortization of upfront fees, undrawn or unused fees and expenses that were incurred in connection with the Hamilton Credit Facility. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Stated interest expense | $ | 1,854 | $ | 1,511 | $ | 5,312 | $ | 4,052 | ||||||||
Unused/undrawn fees | 64 | 69 | 189 | 395 | ||||||||||||
Amortization of deferred financing costs | 96 | 123 | 343 | 360 | ||||||||||||
Total interest expense | $ | 2,014 | $ | 1,703 | $ | 5,844 | $ | 4,807 | ||||||||
Average borrowings | $ | 150,000 | $ | 150,000 | $ | 150,000 | $ | 140,400 | ||||||||
Annualized weighted average interest rate (1) | 5.00 | % | 4.12 | % | 4.84 | % | 4.18 | % | ||||||||
Annualized amortized financing costs | 0.25 | % | 0.32 | % | 0.30 | % | 0.33 | % | ||||||||
Total annualized interest cost | 5.25 | % | 4.44 | % | 5.14 | % | 4.51 | % |
(1) | Calculated as the annualized amount of the stated interest expense and undrawn or unused fees divided by the average borrowings during the reporting period. |
Total Unfunded Commitments | ||||||||
Category / Portfolio Company (1) | September 30, 2018 | December 31, 2017 | ||||||
Alexander Mann Solutions (Revolver) (2) | $ | 446 | $ | — | ||||
Boats Group (Revolver) | 1,000 | 1,000 | ||||||
Bullhorn Inc. (Delayed Draw) | 464 | 1,975 | ||||||
Bullhorn Inc. (Revolver) | 111 | 269 | ||||||
Express Oil (Delayed Draw) | — | 377 | ||||||
Express Oil (Revolver) | — | 241 | ||||||
GAL Manufacturing (Revolver) | 433 | 352 | ||||||
Galls LLC (Delayed Draw) | 1,790 | — | ||||||
Galls LLC (Revolver) | 266 | — | ||||||
Gladman Developments Ltd. (Delayed Draw) (2) | 1,647 | — | ||||||
Humanetics (Revolver) | — | 400 | ||||||
Lytx, Inc. (Revolver) | 368 | 368 | ||||||
Mavis Tire Express Services Corp. (Delayed Draw) | 483 | — | ||||||
Mavis Tire Express Services Corp. (Revolver) | 217 | — | ||||||
Med Intermediate (Delayed Draw) | — | 1,493 | ||||||
Ministry Brands (Delayed Draw) | — | 71 | ||||||
Onyx CenterSource (Revolver) | 329 | 329 | ||||||
Pet Holdings ULC (Delayed Draw) | — | 125 | ||||||
PluralSight Holdings (Revolver) | — | 250 | ||||||
SLR Consulting (Delayed Draw) (2) | 534 | — | ||||||
Trader Interactive (Revolver) | 346 | 346 | ||||||
Velocity Holdings US (Revolver) | 115 | 462 | ||||||
Total Unfunded Commitments | $ | 8,549 | $ | 8,058 |
(1) | May pertain to commitments to one or more entities affiliated with the named portfolio company. |
(2) | This commitment is in foreign currency and has been converted to USD using the September 30, 2018 exchange rate. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Net increase in net assets resulting from operations | $ | 3,751 | $ | 4,818 | $ | 14,720 | $ | 12,308 | ||||||||
Weighted average Common Shares outstanding (basic and diluted) | 29,151,096 | 29,214,286 | 29,151,096 | 26,976,497 | ||||||||||||
Earnings per Common Share - basic and diluted (1) | $ | 0.13 | $ | 0.16 | $ | 0.51 | $ | 0.46 |
(1) | Earnings per Common Share, both basic and diluted, were the same in each period because there were no Common Share equivalents outstanding during each period. |
Nine Months Ended September 30, | |||||||||
2018 | 2017 | ||||||||
PER COMMON SHARE OPERATING PERFORMANCE | |||||||||
Net asset value, beginning of period | $ | 8.52 | $ | 8.47 | |||||
Net investment income (1) | 0.42 | 0.35 | |||||||
Net realized gains (1) | 0.19 | 0.07 | |||||||
Net change in unrealized appreciation (depreciation) (2) | (0.10 | ) | 0.04 | ||||||
Net increase resulting from operations | 0.51 | 0.46 | |||||||
Distributions to Common Shareholders (3) | |||||||||
Distributions from net investment income | (0.42 | ) | (0.35 | ) | |||||
Distributions from realized gains | (0.12 | ) | — | ||||||
Distributions in excess of net investment income | (0.01 | ) | (0.03 | ) | |||||
Net decrease resulting from distributions | (0.55 | ) | (0.38 | ) | |||||
Net asset value, end of period | $ | 8.48 | $ | 8.55 | |||||
INVESTMENT RETURNS | |||||||||
Total investment return (4) | 6.08 | % | 5.49 | % | |||||
RATIOS/SUPPLEMENTAL DATA | |||||||||
Net assets, end of period | $ | 247,131 | $ | 249,367 | |||||
Average net assets (5) | $ | 248,764 | $ | 229,306 | |||||
Common Shares outstanding, end of period | 29,151,096 | 29,151,096 | |||||||
Weighted average Common Shares outstanding | 29,151,096 | 26,976,497 | |||||||
Ratios-to-average net assets: (5) | |||||||||
Total expenses (before reimbursements and management fees waiver) | 5.46 | % | 5.92 | % | |||||
Effect of advisor transition costs reimbursement | — | % | (0.29 | ) | % | ||||
Total expenses | 5.46 | % | 5.63 | % | |||||
Net investment income | 4.91 | % | 4.07 | % | |||||
Average outstanding borrowings (5) | $ | 150,000 | $ | 140,400 | |||||
Portfolio turnover rate (5) (6) | 42 | % | 31 | % | |||||
Asset coverage ratio (7) | 2.65 | 2.66 |
(1) | The per Common Share data was derived by using the weighted average Common Shares outstanding during the period presented. |
(2) | The amount shown at this caption is the balancing figure derived from the other figures in the schedule. The amount shown at this caption for a Common Share outstanding throughout the period may not agree with the change in the aggregate appreciation and depreciation in portfolio securities for the period because of the timing of sales of the Master Fund’s Common Shares in relation to fluctuating market values for the portfolio. |
(3) | The per Common Share data for distributions is the actual amount of distributions paid or payable per Common Share outstanding during the entire period; distributions per Common Share are rounded to the nearest $0.01. For income tax purposes, distributions made to shareholders are reported as ordinary income, capital gains, non-taxable return of capital, or a combination thereof, based on taxable income calculated in accordance with income tax regulations which may differ from amounts determined under GAAP. As of September 30, 2018, the Master Fund estimates distributions to be composed of either ordinary income or capital gains. The final determination of the tax character of distributions will not be made until we file our tax return. |
(4) | Total investment return is a measure of total return for shareholders, assuming the purchase of the Master Fund’s Common Shares at the beginning of the period and the reinvestment of all distributions declared during the period. More specifically, total investment return is based on (i) the purchase of Common Shares at net asset value on the first day of the period, (ii) the sale at the net asset value per Common Share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions, and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions are reinvested concurrent with the issuance of Common Shares at the most recent transaction price on or prior to each distribution payment date. Since there is no public market for the Master Fund’s Common Shares, then the terminal sales price per Common Share is assumed to be equal to net asset value per Common Share on the last day of the period. Total investment return is not annualized. The Master Fund’s performance changes over time and currently may be different than that shown above. Past performance is no guarantee of future results. |
(5) | The computation of average net assets, average outstanding borrowings, and average value of portfolio securities during the period is based on averaging the amount on the first day of the first month of the period and the last day of each month during the period. Ratios-to-average net assets are not annualized. |
(6) | Portfolio turnover is calculated as the lesser of (i) purchases of portfolio securities or (ii) the aggregate total of sales of portfolio securities plus any repayments received divided by the monthly average of the value of investment portfolio owned by the Master Fund during the period. |
(7) | Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total senior securities issued at the end of the period, divided by (ii) total senior securities at the end of the period. |
Record Date | Payment Date | Distribution Per Common Share at Record Date | Distribution Per Common Share at Payment Date | Cash Distribution | ||||||||||
For Calendar Year 2018 | ||||||||||||||
January 25 | January 26 | $ | 0.05832 | $ | 0.05832 | $ | 1,700 | |||||||
February 22 | February 23 | 0.05832 | 0.05832 | 1,700 | ||||||||||
March 22 | March 23 | 0.05832 | 0.05832 | 1,700 | ||||||||||
April 19 | April 20 | 0.04803 | 0.04803 | 1,400 | ||||||||||
May 24 | May 25 | 0.06861 | 0.06861 | 2,000 | ||||||||||
June 21 | June 22 | 0.06861 | 0.06861 | 2,000 | ||||||||||
July 26 | July 27 | 0.06861 | 0.06861 | 2,000 | ||||||||||
August 23 | August 24 | 0.06861 | 0.06861 | 2,000 | ||||||||||
September 4, 11, 18, 25 | September 26 | 0.01346 | 0.05384 | 1,570 | ||||||||||
$ | 0.55127 | $ | 16,070 | |||||||||||
For Calendar Year 2017 | ||||||||||||||
January 31 | February 1 | $ | 0.03015 | $ | 0.03015 | $ | 691 | |||||||
February 28 | March 1 | 0.03300 | 0.03300 | 803 | ||||||||||
March 28 | March 29 | 0.03101 | 0.03101 | 806 | ||||||||||
April 28 | May 1 | 0.03900 | 0.03900 | 1,093 | ||||||||||
May 30 | May 31 | 0.04603 | 0.04603 | 1,299 | ||||||||||
June 29 | June 30 | 0.03852 | 0.03852 | 1,100 | ||||||||||
July 25 | July 26 | 0.06877 | 0.06877 | 2,000 | ||||||||||
August 29 | August 30 | 0.04437 | 0.04437 | 1,300 | ||||||||||
September 26 | September 27 | 0.04437 | 0.04437 | 1,300 | ||||||||||
$ | 0.37522 | $ | 10,392 |
As of | |||||||
September 30, 2018 | December 31, 2017 | ||||||
Total assets | $ | 401,563 | $ | 400,687 | |||
Adjusted total assets (total assets net of payable for investments purchased) | $ | 399,164 | $ | 400,687 | |||
Investments in portfolio companies, at fair value | $ | 372,183 | $ | 372,434 | |||
Borrowings | $ | 150,000 | $ | 150,000 | |||
Net assets | $ | 247,131 | $ | 248,481 | |||
Net asset value per Common Share | $ | 8.48 | $ | 8.52 | |||
Leverage ratio (borrowings/adjusted total assets) | 37.6 | % | 37.4 | % |
Nine Months Ended September 30, | |||||||
2018 | 2017 | ||||||
Average net assets | $ | 248,764 | $ | 229,306 | |||
Average borrowings | $ | 150,000 | $ | 140,400 | |||
Cost of investments purchased | $ | 160,121 | $ | 206,464 | |||
Sales of investments | $ | 35,958 | $ | 51,037 | |||
Principal payments | $ | 127,229 | $ | 55,061 | |||
Net investment income | $ | 12,212 | $ | 9,336 | |||
Net realized gains | $ | 5,478 | $ | 1,876 | |||
Net change in unrealized appreciation (depreciation) | $ | (2,970 | ) | $ | 1,096 | ||
Net increase in net assets resulting from operations | $ | 14,720 | $ | 12,308 | |||
Total distributions to shareholders | $ | 16,070 | $ | 10,392 | |||
Net investment income per Common Share - basic and diluted | $ | 0.42 | $ | 0.35 | |||
Earnings per Common Share - basic and diluted | $ | 0.51 | $ | 0.46 | |||
Distributions per Common Share | $ | 0.55 | $ | 0.38 |
Three Months Ended September 30, | |||||||||||
2018 | 2017 | ||||||||||
Investment activity segmented by access channel: | Amount | Percentage | Amount | Percentage | |||||||
Direct originations | $ | 25,469 | 86.5 | % | $ | 24,664 | 75.8 | % | |||
Syndicated transactions | 3,984 | 13.5 | % | 7,870 | 24.2 | % | |||||
Total investment activity | 29,453 | 100.0 | % | 32,534 | 100.0 | % | |||||
Investments sold or repaid | (42,008 | ) | (29,993 | ) | |||||||
Net investment activity | $ | (12,555 | ) | $ | 2,541 |
Nine Months Ended September 30, | |||||||||||
2018 | 2017 | ||||||||||
Investment activity segmented by access channel: | Amount | Percentage | Amount | Percentage | |||||||
Direct originations | $ | 80,212 | 50.1 | % | $ | 169,530 | 82.1 | % | |||
Syndicated transactions | 79,910 | 49.9 | % | 36,934 | 17.9 | % | |||||
Total investment activity | 160,122 | 100.0 | % | 206,464 | 100.0 | % | |||||
Investments sold or repaid | (163,188 | ) | (106,098 | ) | |||||||
Net investment activity | $ | (3,066 | ) | $ | 100,366 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||
2018 | 2017 | 2018 | 2017 | ||||||||
Portfolio companies at beginning of period | 82 | 67 | 70 | 55 | |||||||
Number of added portfolio companies | 5 | 5 | 34 | 28 | |||||||
Number of exited portfolio companies | (8 | ) | (4 | ) | (25 | ) | (15 | ) | |||
Portfolio companies at period end | 79 | 68 | 79 | 68 | |||||||
Number of debt investments at period end | 120 | 96 | 120 | 96 | |||||||
Number of equity/other investments at period end | 7 | 3 | 7 | 3 |
Balance as of January 1, 2018 | Purchases | Sales and Repayments | Other Changes in Fair Value (1) | Balance as of September 30, 2018 | |||||||||||||||
Senior secured loans - first lien | $ | 234,362 | $ | 98,460 | $ | (95,468 | ) | $ | 2,261 | $ | 239,615 | ||||||||
Senior secured loans - second lien | 82,203 | 26,660 | (32,868 | ) | (1,147 | ) | 74,848 | ||||||||||||
Senior secured bonds | 11,044 | 15,025 | (5,081 | ) | (3,817 | ) | 17,171 | ||||||||||||
Senior unsecured debt | 29,215 | 13,987 | (29,763 | ) | 1,299 | 14,738 | |||||||||||||
Total senior debt | $ | 356,824 | $ | 154,132 | $ | (163,180 | ) | $ | (1,404 | ) | $ | 346,372 | |||||||
Subordinated debt | 14,923 | — | — | — | 14,923 | ||||||||||||||
Equity and other | 687 | 5,989 | (7 | ) | 4,219 | 10,888 | |||||||||||||
Total | $ | 372,434 | $ | 160,121 | $ | (163,187 | ) | $ | 2,815 | $ | 372,183 |
(1) | Other changes in fair value includes changes resulting from realized and unrealized gains and losses, amortization/accretion, increases from PIK income and restructurings. |
September 30, 2018 | December 31, 2017 | ||||||||
Weighted average portfolio company EBITDA (1) | $ | 96,360 | $ | 79,833 | |||||
Median portfolio company EBITDA (1) | $ | 68,500 | $ | 63,000 | |||||
Weighted average purchase price of debt investments (2) | 97.4 | % | 97.6 | % | |||||
Weighted average duration of debt investments (3) | 0.3 | years | 0.5 | years | |||||
Debt investments on non-accrual status as a percentage of amortized cost | — | % | 0.9 | % | |||||
Debt investments on non-accrual status as a percentage of fair value | — | % | 0.9 | % | |||||
Number of debt investments on non-accrual status | — | 1 | |||||||
Floating interest rate debt investments: | |||||||||
Percent of debt portfolio (4) | 91.2 | % | 93.0 | % | |||||
Percent of floating rate debt investments with interest rate floors (4) | 71.2 | % | 96.8 | % | |||||
Weighted average interest rate floor | 1.0 | % | 1.0 | % | |||||
Weighted average coupon spread to base interest rate | 639 | bps | 684 | bps | |||||
Fixed interest rate debt investments: | |||||||||
Percent of debt portfolio (4) | 8.8 | % | 7.0 | % | |||||
Weighted average coupon rate | 8.0 | % | 10.1 | % | |||||
Weighted average years to maturity | 4.7 | years | 3.9 | years | |||||
Weighted average effective yields | |||||||||
Senior secured loans - first lien (5) | 8.5 | % | 8.2 | % | |||||
Senior secured loans - second lien (5) | 10.8 | % | 10.5 | % | |||||
Senior secured bonds (5) | 8.7 | % | 6.5 | % | |||||
Senior unsecured debt (5) | 9.1 | % | 10.7 | % | |||||
Subordinated debt (5) | 10.2 | % | 9.6 | % | |||||
Total debt investments (5) | 9.1 | % | 8.9 | % | |||||
Total investments (6) | 9.1 | % | 8.8 | % |
(1) | Based on trailing twelve months EBITDA as most recently reported by portfolio companies, but not as of September 30, 2018 or December 31, 2017. Weighted average portfolio company EBITDA is calculated using weights based on fair value. The inputs and computations of EBITDA are not consistent across all portfolio companies. EBITDA is a non-GAAP financial measure. For a particular portfolio company, EBITDA is generally defined as net income before net interest expense, income tax expense, depreciation and amortization. EBITDA amounts are estimated from the most recent portfolio company's financial statements, have not been independently verified by the Master Fund or its Advisor, may reflect a normalized or adjusted amounts, typically exclude expenses deemed unusual or non-recurring, and typically include add backs for items deemed appropriate to present normalized earnings. Accordingly, neither the Master Fund nor its Advisor makes any representation or warranty in respect of this information. |
(2) | Percent is calculated as a percentage of the par value of debt investments. |
(3) | Duration is a measure of a debt investment's price sensitivity to 100 basis points ("bps") change in interest rates. It represents an inverse relationship between price and the change in interest rates. For example, if a bond has a duration of 5.0 years and interest rates increase by 100 bps, then the bond price is expected to decrease by 5%. Weighted average duration is calculated using weights based on amortized cost. |
(4) | Percent is calculated as a percentage of the fair value of total debt investments. |
(5) | Weighted average effective yield by investment type is calculated as the effective yield of each investment and weighted by its amortized cost as compared to the aggregate amortized cost of all investments of that investment type. Effective yield is the return earned on an investment net of any discount, premium, or issuance costs. The total debt portfolio yield is calculated before considering the impact of leverage or any operating expenses. |
(6) | The total investment portfolio yield is calculated before considering the impact of leverage or any operating expenses, and includes all income generating investments, non-income generating investments and investments on non-accrual status. |
September 30, 2018 | December 31, 2017 | |||||||||||||
Maturity Year | Principal Amount | Percentage of Portfolio | Principal Amount | Percentage of Portfolio | ||||||||||
2019 | $ | — | — | % | $ | 11,616 | 3.1 | % | ||||||
2020 | 8,187 | 2.2 | 13,449 | 3.6 | ||||||||||
2021 | 32,159 | 8.7 | 35,237 | 9.4 | ||||||||||
2022 | 59,915 | 16.2 | 100,258 | 26.7 | ||||||||||
2023 | 120,182 | 32.5 | 140,897 | 37.6 | ||||||||||
2024 | 78,609 | 21.3 | 51,993 | 13.9 | ||||||||||
2025 | 46,581 | 12.6 | 21,250 | 5.7 | ||||||||||
2026 | 23,992 | 6.5 | — | — | ||||||||||
Total | $ | 369,625 | 100.0 | % | $ | 374,700 | 100.0 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Total investment income | $ | 8,678 | $ | 8,331 | $ | 25,796 | $ | 22,248 | ||||||||
Total expenses | 4,335 | 4,469 | 13,584 | 12,912 | ||||||||||||
Net investment income | 4,343 | 3,862 | 12,212 | 9,336 | ||||||||||||
Net realized gains | 2,648 | 76 | 5,478 | 1,876 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (3,240 | ) | 880 | (2,970 | ) | 1,096 | ||||||||||
Net increase in net assets resulting from operations | $ | 3,751 | $ | 4,818 | $ | 14,720 | $ | 12,308 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Interest income on debt investments: | ||||||||||||||||
Cash interest | $ | 7,732 | $ | 7,828 | $ | 23,164 | $ | 20,507 | ||||||||
PIK interest | 160 | 169 | 564 | 169 | ||||||||||||
Net accretion/amortization of discounts/premiums | 342 | 334 | 1,003 | 941 | ||||||||||||
Total interest on debt investments | 8,234 | 8,331 | 24,731 | 21,617 | ||||||||||||
Dividend income | 249 | — | 596 | — | ||||||||||||
Fee income | 195 | — | 469 | 631 | ||||||||||||
Total investment income | $ | 8,678 | $ | 8,331 | $ | 25,796 | $ | 22,248 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Capital structuring fees | $ | 161 | $ | — | $ | 161 | $ | 315 | ||||||||
Administrative agency fees | (39 | ) | — | 26 | — | |||||||||||
Amendment/consent fees | — | — | 209 | 195 | ||||||||||||
Bridge fee income and other | 73 | — | 73 | 121 | ||||||||||||
Total fee income | $ | 195 | $ | — | $ | 469 | $ | 631 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Fixed operating expenses: | ||||||||||||||||
Related party reimbursements | ||||||||||||||||
Trustees fees | 92 | 112 | 279 | 372 | ||||||||||||
Professional services fees (1) | 213 | 229 | 670 | 765 | ||||||||||||
Other expenses | 241 | 170 | 642 | 519 | ||||||||||||
Total fixed operating expenses | 546 | 511 | 1,591 | 1,656 | ||||||||||||
Variable operating expenses: | ||||||||||||||||
Interest expense (2) | 2,014 | 1,703 | 5,844 | 4,807 | ||||||||||||
Administrative services (3) | 52 | 44 | 157 | 141 | ||||||||||||
Management fee | 1,822 | 1,986 | 5,418 | 5,620 | ||||||||||||
Custody services | 24 | 24 | 82 | 68 | ||||||||||||
Total variable operating expenses | 3,912 | 3,757 | 11,501 | 10,636 | ||||||||||||
Performance dependent expenses: | ||||||||||||||||
Performance-based incentive fee (before fee waiver) (4) | (123 | ) | 201 | 492 | 620 | |||||||||||
Total performance dependent expenses | (123 | ) | 201 | 492 | 620 | |||||||||||
Total expenses | $ | 4,335 | $ | 4,469 | $ | 13,584 | $ | 12,912 |
(1) | Professional services fees includes the expenses for third party service providers such as internal and independent auditors, chief compliance officer, tax return preparer and tax consultant, third-party investment valuers, and fund legal counsel. |
(2) | The composition of our interest expense for the three and nine months ended September 30, 2018 and September 30, 2017, is reported in Note 7. Borrowings. |
(3) | Administrative services fees include the expenses for third party service providers such as fund accountant, fund sub-administrator, and independent pricing vendors. |
(4) | The negative balance in this account pertains to the reversal of previously recognized incentive fee due to a decrease in cumulative gains and losses from inception through the reporting period. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Investments | $ | 1,517 | $ | 491 | $ | 4,149 | $ | 3,021 | ||||||||
Foreign currency forward contracts | 1,054 | (410 | ) | 1,281 | (1,029 | ) | ||||||||||
Foreign currency transactions | 77 | (5 | ) | 48 | (116 | ) | ||||||||||
Net realized gains | $ | 2,648 | $ | 76 | $ | 5,478 | $ | 1,876 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2018 | 2017 | 2018 | 2017 | |||||||||||||
Investments | $ | (2,505 | ) | $ | 1,097 | $ | (2,901 | ) | $ | 1,473 | ||||||
Foreign currency forward contracts | (700 | ) | (217 | ) | (69 | ) | (377 | ) | ||||||||
Foreign currency translation | (35 | ) | — | — | — | |||||||||||
Net change in unrealized appreciation (depreciation) | $ | (3,240 | ) | $ | 880 | $ | (2,970 | ) | $ | 1,096 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
2018 | 2017 | 2018 | 2017 | ||||||||||||
Unrealized appreciation on all investments (1) | $ | 1,714 | $ | 1,766 | $ | 5,268 | $ | 5,217 | |||||||
Unrealized depreciation on all investments (1) | (4,219 | ) | (669 | ) | (8,169 | ) | (3,744 | ) | |||||||
Total net change in unrealized appreciation (depreciation) on all investments | $ | (2,505 | ) | $ | 1,097 | $ | (2,901 | ) | $ | 1,473 | |||||
Unrealized appreciation on Level 3 investments only (1) | $ | 1,055 | $ | 2,178 | $ | 5,703 | $ | 4,607 | |||||||
Unrealized depreciation on Level 3 investments only (1) | (1,030 | ) | (846 | ) | (4,427 | ) | (1,265 | ) | |||||||
Total net change in unrealized appreciation on Level 3 investments only | $ | 25 | $ | 1,332 | $ | 1,276 | $ | 3,342 |
(1) | Amounts are net of any reclassification of realized gain or loss on investments. |
Total Investment Return-Net Asset Value(1) | |||||||||||||||
Date Operations Commenced (2) | Nine Months Ended September 30, | Since Commencement | |||||||||||||
Company | 2018 | 2017 | Cumulative | Annualized | |||||||||||
Guggenheim Credit Income Fund | 12/19/2014 | 6.08 | % | 5.49 | % | 14.92 | % | 3.73 | % |
(1) | Total investment return is a measure of total return for shareholders, assuming the purchase of our Common Shares at the beginning of the period and the reinvestment of all distributions declared during the period. More specifically, total investment return is based on (i) the purchase of Common Shares at net asset value on the first day of the period, (ii) the sale of Common Shares at the net asset value per share on the last day of the period, of (A) all purchased Common Shares plus (B) any fractional Common Shares issued in connection with the reinvestment of distributions, and (iii) distributions payable relating to the ownership of Common Shares, if any, on the last day of the period. The total investment return calculation assumes that cash distributions are reinvested concurrent with the issuance of Common Shares at the most recent transaction price on or prior to each distribution payment date. Since there is no public market for our Common Shares, then the terminal sales price per common share is assumed to be equal to net asset value per common share on the last day of the period. |
(2) | Commencement of operations represents the date that we sold our initial Common Shares. |
September 30, 2018 | ||||||||||||||||||||
Total | < 1 year | 1-3 years | 3-5 years | > 5 years | ||||||||||||||||
Financings-Hamilton Credit Facility: | ||||||||||||||||||||
Debt - principal repayment | $ | 150,000 | $ | — | $ | — | $ | 150,000 | $ | — | ||||||||||
Interest on borrowings (1) (2) | 31,220 | 7,352 | 14,704 | 9,164 | — | |||||||||||||||
Unused commitment fee (1) | 1,076 | 253 | 507 | 316 | — | |||||||||||||||
Total - Financings | $ | 182,296 | $ | 7,605 | $ | 15,211 | $ | 159,480 | $ | — | ||||||||||
Liquidation of Feeder Funds' Investments: | ||||||||||||||||||||
GCIF 2016T (3) | $ | 159,681 | $ | — | $ | — | $ | 159,681 | $ | — | ||||||||||
GCIF 2019 (3) | 40,352 | — | — | — | 40,352 | |||||||||||||||
Total Liquidation of Feeder Funds' Investments | $ | 200,033 | $ | — | $ | — | $ | 159,681 | $ | 40,352 |
(1) | Interest on borrowings and unused commitment fees are based on the amount drawn on the Hamilton Credit Facility as of September 30, 2018 and consideration of (i) contractual minimum utilization commitments and (ii) the maximum commitment amount. Incremental borrowings after September 30, 2018 would (i) increase interest expense and (ii) reduce unused commitment fees. See Note 7. Borrowings for a detailed description of undrawn and unused commitment fees. |
(2) | The forecast of interest expense on borrowings is based on the prevailing interest rate as of the most recent interest reset date (LIBOR+2.50%) and it is subject to quarterly base interest rate changes. |
(3) | The Feeder Fund investment liquidity amounts are based on the net asset value of each Feeder Fund's ownership interest in the Master Fund as of September 30, 2018. GCIF 2016T and GCIF 2019 have declared that they intend to provide liquidity to their shareholders from a liquidation of their ownership interest of the Master Fund on or before December 31, 2021 and December 31, 2026, respectively, subject to each Feeder Fund's pursuit of other liquidity alternatives and timing adjustments. |
September 30, 2018 | December 31, 2017 | ||||||
Investments classified as Level 3 fair value | $ | 267,415 | $ | 308,212 | |||
Total investments at fair value | $ | 372,183 | $ | 372,434 | |||
Total assets | $ | 401,563 | $ | 400,687 | |||
Percentage of investment portfolio classified as Level 3 fair value (1) (2) | 71.9 | % | 82.8 | % | |||
Percentage of total assets classified as Level 3 fair value | 66.6 | % | 76.9 | % |
September 30, 2018 | December 31, 2017 | ||||||
Fair Value of Level 3 Investments at Period End | $ | 267,415 | $ | 308,212 | |||
Fair Value Assuming a 5% Increase in Value | 280,786 | 323,623 | |||||
Increase in unrealized appreciation | 13,371 | 15,411 | |||||
(Increase) in management fees (1) | (175 | ) | (308 | ) | |||
(Increase) in performance based incentive fee (2) | (2,674 | ) | (3,082 | ) | |||
Increase in net assets resulting from operations | $ | 10,522 | $ | 12,021 | |||
Weighted average Common Shares outstanding (basic and diluted) | 29,151,096 | 27,524,615 | |||||
Common Shares outstanding at the end of the period | 29,151,096 | 29,151,096 | |||||
Increase in earnings per Common Share | $ | 0.36 | $ | 0.44 | |||
Increase in net asset value per Common Share | $ | 0.36 | $ | 0.41 |
(1) | Increase in management fee for the period ended September 30, 2018 represents only nine month's worth of the change to the Master Fund's management fee. |
(2) | Increase in performance-based incentive fee is calculated as 20% of the increase in unrealized appreciation. |
Basis Points (bps) Increase | Annualized Interest Income Increase | Annualized Interest Expense Increase | Annualized Net Increase | Net Increase per Share | ||||||||||||
+50 bps | $ | 1,743 | $ | 750 | $ | 993 | $ | 0.03 | ||||||||
+100 bps | 3,511 | 1,500 | 2,011 | 0.07 | ||||||||||||
+150 bps | 5,281 | 2,250 | 3,031 | 0.10 | ||||||||||||
+200 bps | 7,052 | 3,000 | 4,052 | 0.14 |
Guggenheim Credit Income Fund | |||
Date: | November 7, 2018 | By: | /s/ Matthew S. Bloom |
MATTHEW S. BLOOM | |||
President and Chief Executive Officer | |||
(Principal Executive Officer) | |||
Date: | November 7, 2018 | By: | /s/ Brian S. Williams |
BRIAN S. WILLIAMS | |||
Chief Financial Officer | |||
(Principal Financial Officer) |
3.1 | ||
3.2 | ||
3.3 | ||
3.4 | ||
10.1 | ||
10.2 | ||
10.3 | ||
10.4 | ||
10.5 | ||
10.6 | ||
10.7 | ||
10.8 | ||
10.9 | ||
10.10 | ||
10.11 | ||
14.1 | ||
14.2 | ||
31.1 | Certification of Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.) | |
31.2 | Certification of Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (Filed herewith.) | |
32 | Certification of Chief Executive Officer and Chief Financial Officer pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (Filed herewith.) |
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